Spectral decomposition of optimal asset-liability management
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References listed on IDEAS
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- Benjamin Avanzi & Vincent Tu & Bernard Wong, 2016. "A Note on Realistic Dividends in Actuarial Surplus Models," Risks, MDPI, Open Access Journal, vol. 4(4), pages 1-9, October.
More about this item
KeywordsAsset-liability management HJB principle Local time Spectral theory Free boundary problem;
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