Mean-Variance Asset Liability Management with State-Dependent Risk Aversion (English)
- New search for: Zhang, Yan
- New search for: Wu, Yonghong
- New search for: Li, Shuang
- New search for: Wiwatanapataphee, Benchawan
- New search for: Zhang, Yan
- New search for: Wu, Yonghong
- New search for: Li, Shuang
- New search for: Wiwatanapataphee, Benchawan
In:
North American Actuarial Journal
;
21
, 1
;
87-106
;
2017
- Article (Journal) / Electronic Resource
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Title:Mean-Variance Asset Liability Management with State-Dependent Risk Aversion
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Contributors:Zhang, Yan ( author ) / Wu, Yonghong ( author ) / Li, Shuang ( author ) / Wiwatanapataphee, Benchawan ( author )
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Published in:North American Actuarial Journal ; 21, 1 ; 87-106
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Publisher:
- New search for: Routledge
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Publication date:2017-01-02
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Size:20 pages
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ISSN:
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DOI:
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Type of media:Article (Journal)
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Type of material:Electronic Resource
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Language:English
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Source:
Table of contents – Volume 21, Issue 1
The tables of contents are generated automatically and are based on the data records of the individual contributions available in the index of the TIB portal. The display of the Tables of Contents may therefore be incomplete.
- 1
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Optimal Reinsurance Design: A Mean-Variance ApproachChi, Yichun / Zhou, Ming et al. | 2017
- 15
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Arrow's Theorem of the Deductible with Heterogeneous BeliefsGhossoub, Mario et al. | 2017
- 36
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Asymptotic Investment Behaviors under a Jump-Diffusion Risk ProcessBelkina, Tatiana / Luo, Shangzhen et al. | 2017
- 63
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Impact of Flexible Periodic Premiums on Variable Annuity GuaranteesBernard, Carole / Cui, Zhenyu / Vanduffel, Steven et al. | 2017
- 87
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Mean-Variance Asset Liability Management with State-Dependent Risk AversionZhang, Yan / Wu, Yonghong / Li, Shuang / Wiwatanapataphee, Benchawan et al. | 2017
- 107
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Model-Based and Nonparametric Approaches to Clustering for Data Compression in Actuarial ApplicationsO’Hagan, Adrian / Ferrari, Colm et al. | 2017
- 147
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Factor Copula Approaches for Assessing Spatially Dependent High-Dimensional RisksHua, Lei / Xia, Michelle / Basu, Sanjib et al. | 2017