Jump-Diffusion Asset-Liability Management via Risk-Sensitive Control

29 Pages Posted: 13 Nov 2013

See all articles by Mark Davis

Mark Davis

Imperial College London

Sebastien Lleo

NEOMA Business School

Date Written: November 12, 2013

Abstract

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

Suggested Citation

Davis, Mark and Lleo, Sebastien, Jump-Diffusion Asset-Liability Management via Risk-Sensitive Control (November 12, 2013). Available at SSRN: https://ssrn.com/abstract=2353581 or http://dx.doi.org/10.2139/ssrn.2353581

Mark Davis

Imperial College London ( email )

South Kensington Campus
London SW7 2AZ, SW7 2AZ
United Kingdom
02075948486 (Phone)

HOME PAGE: http://www.ma.ic.ac.uk/~mdavis

Sebastien Lleo (Contact Author)

NEOMA Business School ( email )

Reims
France

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
138
Abstract Views
680
rank
250,268
PlumX Metrics