Scholarlink

<p>This paper investigates the optimal asset-liability strategy for an insurer with uncertain exit time under the mean-variance criterion. We model the risky asset price process and the liability process as general jump-diffusion processes that incorporate random parameters, and the correlation between the risky asset price process and liability process is incorporated into our research framework. The sufficient and necessary conditions for optimal asset-liability strategies are deduced by using the Malliavin calculus. Finally, a closed-form solution for the optimal strategy is also obtained in a special case.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Optimal deterministic asset-liability management with uncertain time horizon under mean-variance criterion

  • 期刊论文

  • 发表日期：

    2026年6月17日

查看全文
  • Hongwei Liu,
  • Xinzhi Wang,
  • Pengcheng Ma

摘要

This paper investigates the optimal asset-liability strategy for an insurer with uncertain exit time under the mean-variance criterion. We model the risky asset price process and the liability process as general jump-diffusion processes that incorporate random parameters, and the correlation between the risky asset price process and liability process is incorporated into our research framework. The sufficient and necessary conditions for optimal asset-liability strategies are deduced by using the Malliavin calculus. Finally, a closed-form solution for the optimal strategy is also obtained in a special case.