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Optimization and Control for Systems in the Big-Data Era pp 85–100Cite as

Asset-Liability Management in Continuous-Time: Cointegration and Exponential Utility

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Part of the book series: International Series in Operations Research & Management Science ((ISOR,volume 252))

Abstract

Using the technique of dynamic portfolio optimization, Chiu and Li (Insur. Math. Econ. 39:330–355, 2006) pioneered the optimal asset-liability management (ALM) framework for investors and insurers in a continuous-time economy. Their approach has been generalized to different objective functions under different stochastic models for the assets and the liabilities. This paper briefly summarizes recent advances along this research direction based on the author’s personal interest and the required quantitative tools from stochastic optimal control theory. A new ALM solution is then derived for constant absolute risk averse insurers subject to cointegrated assets and compound Poisson-type insurance liabilities.

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Acknowledgements

The authors thank the Editor and an anonymous referee for their constructive comments. MC Chiu acknowledges the support by Research Grant Council of Hong Kong with ECS Project Number: 809913 and GRF Project Number: 18200114.

Author information

Authors and Affiliations

  1. Department of Mathematics and Information Technology, The Education University of Hong Kong, Tai Po, Hong Kong

    Mei Choi Chiu

Authors
  1. Mei Choi Chiu
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Correspondence to Mei Choi Chiu .

Editor information

Editors and Affiliations

  1. Institute of Textiles and Clothing, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong

    Tsan-Ming Choi

  2. School of Information Management and Engineering, Shanghai University of Finance and Economics, Shanghai, China

    Jianjun Gao

  3. Department of Systems and Information Engineering, University of Virginia, Charlottesville, Virginia, USA

    James H. Lambert

  4. Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Shatin, N.T., Hong Kong

    Chi-Kong Ng

  5. Department of Management Science and Engineering, Business School, Qingdao University, Shandong, China

    Jun Wang

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Chiu, M.C. (2017). Asset-Liability Management in Continuous-Time: Cointegration and Exponential Utility. In: Choi, TM., Gao, J., Lambert, J., Ng, CK., Wang, J. (eds) Optimization and Control for Systems in the Big-Data Era. International Series in Operations Research & Management Science, vol 252. Springer, Cham. https://doi.org/10.1007/978-3-319-53518-0_6

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