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Mean–variance asset–liability management: Cointegrated assets and insurance liability
Mei Choi CHIU
, Hoi Ying WONG
Department of Mathematics and Information Technology (MIT)
Research output
:
Contribution to journal
›
Articles
›
peer-review
51
Citations (Scopus)
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Keyphrases
Insurer
100%
Cointegration
100%
Insurance Liabilities
100%
Assets-liabilities
100%
Management Challenges
66%
Continuous-time
66%
Terminal Wealth
66%
Copyright
33%
Financial Markets
33%
Efficient Frontier
33%
Incomplete Markets
33%
Insurance Claims
33%
Cointegrated Time Series
33%
Diffusion Limit
33%
Markowitz
33%
Error Correction Model
33%
Brownian Motion
33%
Investment Period
33%
Closed-form Formula
33%
Compound Poisson Process
33%
Portfolio Policy
33%
Economics, Econometrics and Finance
Financial Market
100%
Levy Process
100%
Liability Insurance
100%
Continuous Time
100%
Wealth
100%
Time Series
50%