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
Publication
Amsterdam : 2009
ISSN
0165-1889
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
Identification
Creation 03.04.2009
Last edited 01.08.2017
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