Name
Abstract | ||
|---|---|---|
In this paper, we study a time inconsistent asset–liability management problem of an insurance firm, where the liability is controllable, the surplus is partially observable. We introduce the open-loop equilibrium premium operator (OLEPO), by which the open-loop equilibrium premium strategy (OLEPS) can be represented. We give the characterization and explicit forms of OLEPO, and also obtain the existence and uniqueness of OLEPS, which is a feedback form of surplus filtering estimate. |
Year | DOI | Venue |
|---|---|---|
2020 | 10.1016/j.sysconle.2020.104687 | Systems & Control Letters |
Keywords | DocType | Volume |
Time inconsistency,Stochastic linear quadratic optimal control problem,Kalman–Bucy filtering equation,Riccati equation,Open-loop equilibrium premium strategy | Journal | 140 |
ISSN | Citations | PageRank |
0167-6911 | 0 | 0.34 |
References | Authors | |
0 | 2 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Guangchen Wang | 1 | 153 | 18.94 |
| Tianxiao Wang | 2 | 0 | 1.69 |