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- W2359532986 abstract "In this paper,the mean-variance portfolio selection problem for an insurance company is extended to the dynamic asset liability management problem under the no short-selling constraints.First,by using the compound Poisson process to describe the liability of the insurance company,the asset liability management model is established.Then based on the classical dynamic programming method and the verification theorem,the integral-differential equation,which the value function of the asset liability management problem statisfies,is derived.Second,we construct a lower semi-continuous function in term of the Riccati equation and prove that it is the viscosity supersolution of the integraldifferential equation by using the general theory of the viscosity.Finally,the expressions of the optimal portfolio and the effcient frontier for the insurance company are obtained in closed forms,and the connections among the investment strategy,the premium and the claim are illustrated through a numerical example." @default.
- W2359532986 created "2016-06-24" @default.
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- W2359532986 date "2012-01-01" @default.
- W2359532986 modified "2023-09-23" @default.
- W2359532986 title "Asset and Liability Management with No-shorting Constraints of an Insurance Company" @default.
- W2359532986 hasPublicationYear "2012" @default.
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