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.
Type de document :
Chapitre d'ouvrage
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〉
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https://hal.inria.fr/hal-00856364
Contributeur : Jean-Pierre Aubin <>
Soumis le : samedi 31 août 2013 - 15:02:22
Dernière modification le : jeudi 11 janvier 2018 - 06:21:22

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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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