Mean-variance asset-liability management: Cointegrated assets and insurance liability

► Consider the mean-variance ALM for an insurer investing in cointegrated assets. ► The insurer has random insurance claims during the investment period. ► The problem is solved by generalizing the approach in Lim (2005). ► The optimal control is obtained in explicit and closed-form formulas. ► Numerical examples show that cointegration is important to ALM.