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Asset-Liability Management in Continuous-Time: Cointegration and Exponential Utility

In: Optimization and Control for Systems in the Big-Data Era

Author

Listed:
  • Mei Choi Chiu

    (The Education University of Hong Kong)

Abstract

Using the technique of dynamic portfolio optimization, Chiu and Li (Insur. Math. Econ. 39:330–355, 2006) pioneered the optimal asset-liability management (ALM) framework for investors and insurers in a continuous-time economy. Their approach has been generalized to different objective functions under different stochastic models for the assets and the liabilities. This paper briefly summarizes recent advances along this research direction based on the author’s personal interest and the required quantitative tools from stochastic optimal control theory. A new ALM solution is then derived for constant absolute risk averse insurers subject to cointegrated assets and compound Poisson-type insurance liabilities.

Suggested Citation

  • Mei Choi Chiu, 2017. "Asset-Liability Management in Continuous-Time: Cointegration and Exponential Utility," International Series in Operations Research & Management Science, in: Tsan-Ming Choi & Jianjun Gao & James H. Lambert & Chi-Kong Ng & Jun Wang (ed.), Optimization and Control for Systems in the Big-Data Era, chapter 0, pages 85-100, Springer.
    • Handle: RePEc:spr:isochp:978-3-319-53518-0_6
    DOI: 10.1007/978-3-319-53518-0_6
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