Jump-Diffusion Asset-Liability Management via Risk-Sensitive Control
29 Pages Posted: 13 Nov 2013
Date Written: November 12, 2013
In this paper, we use risk-sensitive control methods to solve a jump-diffusion Asset-Liability Management (ALM) problem. We show that the ALM problem admits a unique classical solution under two different sets of assumptions.
Keywords: Asset and Liability Management, Risk-Sensitive Asset Management, Risk-Sensitive Control, Classical Solutions, Viscosity Solutions, Jump Diffusion Processes, Fund Separation Theorems
JEL Classification: C61, G11, G21, G22
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