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Asset Liability Insurance Management (ALIM) for Risk Eradication

Abstract : The Asset-Liability Management (ALM) deals with approaches allowing a company to manage the composition of its risky asset or underlying to be \emph{always} larger than its liabilities. Choosing a management rule is a choice under contingent uncertainty (choosing an exposition of the portfolio) and tychastic uncertainty (valid for risky returns above a forecasted lower bound). This is an example of tychastic control system under state constraint which is solved by the viability algorithm.
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Contributor : Jean-Pierre Aubin Connect in order to contact the contributor
Submitted on : Saturday, August 31, 2013 - 3:02:22 PM
Last modification on : Saturday, December 4, 2021 - 3:42:33 AM




Jean-Pierre Aubin, Luxi Chen, Olivier Dordan. Asset Liability Insurance Management (ALIM) for Risk Eradication. Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J.M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin. The Interval Market Model in Mathematical Finance; Game-Theoretic Methods, Birkhäuser, pp.319-335, 2013, Static & Dynamic Game Theory: Foundations & Applications, 978-0-8176-8387-0. ⟨10.1007/978-0-8176-8388-7⟩. ⟨hal-00856364⟩



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