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Title
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Spectral decomposition of optimal asset-liability management
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Author
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Abstract
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| 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 |
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Language
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English
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Source (journal)
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Journal of economic dynamics and control. - Amsterdam, 1979, currens
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Publication
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Amsterdam
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North-Holland
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2009
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ISSN
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0165-1889
[print]
1879-1743
[online]
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DOI
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10.1016/J.JEDC.2008.09.002
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Volume/pages
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33
:3
(2009)
, p. 710-724
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ISI
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000264080800013
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Full text (Publisher's DOI)
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Full text (publisher's version - intranet only)
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