Asset Liability Insurance Management (ALIM) for Risk Eradication
| hal.structure.identifier | Laboratoire d'Applications des Systèmes Tychastiques Régulés [LASTRE] | |
| dc.contributor.author | AUBIN, Jean-Pierre | |
| dc.contributor.author | CHEN, Luxi | |
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| dc.contributor.author | DORDAN, Olivier | |
| dc.contributor.editor | Pierre Bernhard | |
| dc.contributor.editor | Jacob C. Engwerda | |
| dc.contributor.editor | Berend Roorda | |
| dc.contributor.editor | J.M. Schumacher | |
| dc.contributor.editor | Vassili Kolokoltsov | |
| dc.contributor.editor | Patrick Saint-Pierre | |
| dc.contributor.editor | Jean-Pierre Aubin | |
| dc.date.accessioned | 2024-04-04T02:21:37Z | |
| dc.date.available | 2024-04-04T02:21:37Z | |
| dc.date.issued | 2013 | |
| dc.identifier.isbn | 978-0-8176-8387-0 | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/189591 | |
| dc.description.abstractEn | 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. | |
| dc.language.iso | en | |
| dc.publisher | Birkhäuser | |
| dc.source.title | The Interval Market Model in Mathematical Finance; Game-Theoretic Methods | |
| dc.title.en | Asset Liability Insurance Management (ALIM) for Risk Eradication | |
| dc.type | Chapitre d'ouvrage | |
| dc.identifier.doi | 10.1007/978-0-8176-8388-7 | |
| dc.subject.hal | Mathématiques [math]/Optimisation et contrôle [math.OC] | |
| dc.description.sponsorshipEurope | Sensitivity Analysis for Deterministic Controller Design | |
| bordeaux.page | 319-335 | |
| bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
| bordeaux.institution | Université de Bordeaux | |
| bordeaux.institution | Bordeaux INP | |
| bordeaux.institution | CNRS | |
| bordeaux.title.proceeding | The Interval Market Model in Mathematical Finance; Game-Theoretic Methods | |
| hal.identifier | hal-00856364 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-00856364v1 | |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.btitle=The%20Interval%20Market%20Model%20in%20Mathematical%20Finance;%20Game-Theoretic%20Methods&rft.date=2013&rft.spage=319-335&rft.epage=319-335&rft.au=AUBIN,%20Jean-Pierre&CHEN,%20Luxi&DORDAN,%20Olivier&rft.isbn=978-0-8176-8387-0&rft.genre=unknown |
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