Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework

Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework

© 2020, Journal of Industrial and Management Optimization. This paper investigates the asset liability management problem for an ordinary insurance system incorporating the standard concept of proportional reinsurance coverage in a stochastic interest rate and stochastic volatility framework. The go...

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Bibliographic Details
Main Authors: Zhang, Y., Wu, Yong, Wiwatanapataphee, Benchawan, Angkola, Francisca
Format: Journal Article
Language:English
Published: American Institute of Mathematical Sciences 2020
Subjects:
Science & Technology
Technology
Physical Sciences
Engineering, Multidisciplinary
Operations Research & Management Science
Mathematics, Interdisciplinary Applications
Engineering
Mathematics
Asset liability management
CIR stochastic interest rate model
Heston stochastic volatility model
insurance system with reinsurance
Hamilton-Jacobi-Bellman equation
stochastic optimal control
TIME-CONSISTENT INVESTMENT
OF-LOSS REINSURANCE
OPTIMAL PORTFOLIOS
STRATEGIES
INSURERS
MODEL
CONSUMPTION
CHOICE
Online Access:http://hdl.handle.net/20.500.11937/79263

Internet

http://hdl.handle.net/20.500.11937/79263

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