Publication
Title
Spectral decomposition of optimal asset-liability management
Author
Abstract
This paperconcernsoptimalassetliabilitymanagementwhentheassetsandthe liabilitiesaremodeledbymeansofcorrelatedgeometricBrownianmotionsas suggestedinGerberandShiu[2003.GeometricBrownianmotionmodelsforassets and liabilities:frompensionfundingtooptimaldividends.NorthAmericanActuarial Journal7(3),3751].Inafirstpart,weapplysingularstochasticcontroltechniquesto derive afreeboundaryequationfortheoptimalvaluecreationasagrowthofliabilities or asdividendpaymenttoshareholders.Weprovideanalyticalsolutionstothe HamiltonJacobiBellman(HJB)optimalityequationinarathergeneralcontext.Ina secondpart,westudytheconvergenceofthecashflowstotheoptimalvaluecreation usingspectralmethods.Forparticularcases,wealsoprovideaseriesexpansionforthe probabilitiesofbankruptcyinfinitetime
Language
English
Source (journal)
Journal of economic dynamics and control. - Amsterdam, 1979, currens
Publication
Amsterdam : North-Holland , 2009
ISSN
0165-1889 [print]
1879-1743 [online]
DOI
10.1016/J.JEDC.2008.09.002
Volume/pages
33 :3 (2009) , p. 710-724
ISI
000264080800013
Full text (Publisher's DOI)
Full text (publisher's version - intranet only)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identifier
Creation 03.04.2009
Last edited 18.11.2024
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