Title
Spectral decomposition of optimal asset-liability management Spectral decomposition of optimal asset-liability management
Author
Faculty/Department
Faculty of Applied Economics
Publication type
article
Publication
Amsterdam ,
Subject
Economics
Source (journal)
Journal of economic dynamics and control. - Amsterdam
Volume/pages
33(2009) :3 , p. 710-724
ISSN
0165-1889
ISI
000264080800013
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
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
E-info
https://repository.uantwerpen.be/docman/iruaauth/397c70/eb8bb9e4c02.pdf
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