Spectral decomposition of optimal asset-liability management

@inproceedings{Decamps2007SpectralDO,
  title={Spectral decomposition of optimal asset-liability management},
  author={Marc Decamps and Ann De Schepper and Marc Goovaerts},
  year={2007}
}
This paper concerns optimal asset-liability management when the assets and the liabilities are modeled by means of correlated geometric Brownian motions as suggested in Gerber and Shiu (2003). In a first part, we apply singular stochastic control techniques to derive a free boundary equation for the optimal value creation as a growth of liabilities or as dividend payment to shareholders. We provide analytical solutions to the HJB optimality equation in a rather general context. In a second part… CONTINUE READING
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