Jump-diffusion asset-liability management via risk-sensitive control
File(s)RSALM_JD_ORS_S_20131026.pdf (345.83 KB)
Accepted version
Author(s)
Davis, MHA
Lleo, S
Type
Journal Article
Abstract
In this paper, we use risk-sensitive control methods to solve a jump-diffusion asset–liability management (ALM) problem. We show that the ALM problem admits a unique classical ( C1,2C1,2 ) solution under two different sets of assumptions.
Date Issued
2014-07-09
Date Acceptance
2014-07-01
Citation
OR Spectrum, 2014, 37 (3), pp.655-675
ISSN
0171-6468
Publisher
Springer Verlag (Germany)
Start Page
655
End Page
675
Journal / Book Title
OR Spectrum
Volume
37
Issue
3
Copyright Statement
© 2014 Springer-Verlag Berlin Heidelberg. The final publication is available at Springer via http://dx.doi.org/10.1007/s00291-014-0371-x
Identifier
http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000356732400005&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
Subjects
Science & Technology
Technology
Operations Research & Management Science
Asset and liability management
Risk-sensitive asset management
Risk-sensitive control
Classical solutions
Viscosity solutions
Jump diffusion processes
Fund separation theorems
VISCOSITY SOLUTIONS
Operations Research
0102 Applied Mathematics
0103 Numerical And Computational Mathematics
1503 Business And Management
Publication Status
Published