Asset Liability Insurance Management (ALIM) for Risk Eradication
Langue
en
Chapitre d'ouvrage
Ce document a été publié dans
The Interval Market Model in Mathematical Finance; Game-Theoretic Methods, The Interval Market Model in Mathematical Finance; Game-Theoretic Methods. 2013p. 319-335
Birkhäuser
Résumé en anglais
The Asset-Liability Management (ALM) deals with approaches allowing a company to manage the composition of its risky asset or underlying to be \emph{always} larger than its liabilities. Choosing a management rule is a ...Lire la suite >
The Asset-Liability Management (ALM) deals with approaches allowing a company to manage the composition of its risky asset or underlying to be \emph{always} larger than its liabilities. Choosing a management rule is a choice under contingent uncertainty (choosing an exposition of the portfolio) and tychastic uncertainty (valid for risky returns above a forecasted lower bound). This is an example of tychastic control system under state constraint which is solved by the viability algorithm.< Réduire
Projet Européen
Sensitivity Analysis for Deterministic Controller Design
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