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

Business & Economics

• Asset Returns 26%
• Asset-liability Management 73%
• Assets 7%
• Closed-form Solution 14%
• Compound Poisson Process 18%
• Covariance Matrix 14%
• Default Correlation 72%
• Efficient Frontier 14%
• Financial Markets 9%
• Insurance 9%
• Insurer 48%
• Jump 15%
• Liability 22%
• Liability Insurance 67%
• Mean-variance 53%
• Optimal Control Problem 15%
• Optimal Management 33%
• Stochastic Correlation 21%
• Stochastic Optimal Control 17%
• Stochastic Volatility 14%
• Wealth 19%
• Wishart Process 23%

Mathematics

• Asset-liability Management 100%
• Closed-form Solution 13%
• Compound Poisson Process 16%
• Covariance matrix 11%
• Efficient Frontier 19%
• Financial Markets 16%
• Form 5%
• Insurance 55%
• Jump 10%
• Minimise 10%
• Optimal Control Problem 10%
• Policy 12%
• Portfolio Management 21%
• Stochastic Matrix 15%
• Stochastic Optimal Control 16%
• Stochastic Volatility 17%