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

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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

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