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dc.contributor.authorZhang, Y.
dc.contributor.authorWu, Yong Hong
dc.contributor.authorLi, S.
dc.contributor.authorWiwatanapataphee, Benchawan
dc.date.accessioned2017-04-28T13:58:16Z
dc.date.available2017-04-28T13:58:16Z
dc.date.created2017-04-28T09:06:08Z
dc.date.issued2017
dc.identifier.citationZhang, Y. and Wu, Y.H. and Li, S. and Wiwatanapataphee, B. 2017. Mean-Variance Asset Liability Management with State-Dependent Risk Aversion. North American Actuarial Journal. 21 (1): pp. 87-106.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/52312
dc.identifier.doi10.1080/10920277.2016.1247719
dc.description.abstract

© 2017, Copyright © Society of Actuaries.This article investigates the asset liability management problem with state-dependent risk aversion under the mean-variance criterion. The investor allocates the wealth among multiple assets including a risk-free asset and multiple risky assets governed by a system of geometric Brownian motion stochastic differential equations, and the investor faces the risk of paying uncontrollable random liabilities. The state-dependent risk aversion is taken into account in our model, linking the risk aversion to the current wealth held by the investor. An extended Hamilton-Jacobi-Bellman system is established for the optimization of asset liability management, and by solving the extended Hamilton-Jacobi-Bellman system, the analytical closed-form expressions for the time-inconsistent optimal investment strategies and the optimal value function are derived. Finally, numerical examples are presented to illustrate our results.

dc.publisherSociety of Actuaries
dc.titleMean-Variance Asset Liability Management with State-Dependent Risk Aversion
dc.typeJournal Article
dcterms.source.volume21
dcterms.source.number1
dcterms.source.startPage87
dcterms.source.endPage106
dcterms.source.issn1092-0277
dcterms.source.titleNorth American Actuarial Journal
curtin.departmentDepartment of Mathematics and Statistics
curtin.accessStatusFulltext not available


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