Mean-variance asset-liability management with asset correlation risk and insurance liabilities

Keyphrases

• Insurer 100%
• Correlation Risk 100%
• Insurance Liabilities 100%
• Mean-variance 100%
• Asset Liability Management 100%
• Asset Correlation 100%
• Terminal Wealth 50%
• Risky Assets 50%
• Asset Returns 50%
• Copyright 25%
• Management Challenges 25%
• Financial Markets 25%
• Efficient Frontier 25%
• Insurance Claims 25%
• Compound Poisson Process 25%
• Portfolio Policy 25%
• Stochastic Volatility 25%
• Well-behaved 25%
• Stochastic Optimal Control Problems 25%
• Stochastic Correlation 25%
• Wishart Process 25%
• Stochastic Jump 25%
• Solution Process 25%
• Stochastic Covariance Matrix 25%
• Affine Form 25%

Economics, Econometrics and Finance

• Liability Insurance 100%
• Wealth 100%
• Asset-Liability Management 100%
• Capital Market Returns 100%
• Financial Market 50%
• Levy Process 50%
• Volatility 50%
• Portfolio Selection 50%
• Optimal Control 50%

Mathematics

• Mean-Variance 100%
• Stochastics 100%
• Risky Asset 50%
• Minimizes 25%
• Variance 25%
• Stochastic Volatility 25%
• Optimal Control Problem 25%
• Compound Poisson Process 25%
• Closed Form Solution 25%
• Portfolio Management 25%
• Covariance Matrix 25%
• Insurance Claim 25%