Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6898176 | European Journal of Operational Research | 2012 | 9 Pages |
Abstract
⺠Consider the mean-variance ALM for an insurer investing in cointegrated assets. ⺠The insurer has random insurance claims during the investment period. ⺠The problem is solved by generalizing the approach in Lim (2005). ⺠The optimal control is obtained in explicit and closed-form formulas. ⺠Numerical examples show that cointegration is important to ALM.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Mei Choi Chiu, Hoi Ying Wong,