Exchange-Traded Fixed-Income Derivatives in Asset Management and Asset-Liability Management

2006 ◽  
Vol 16 (1) ◽  
pp. 39-54
Author(s):  
Felix Goltz ◽  
Lionel Martellini ◽  
Volker Ziemann
Keyword(s):  
Asset Management ◽  
Fixed Income ◽  
Asset Liability Management ◽  
Liability Management ◽  
Fixed Income Derivatives

Asset-Liability Management

2019 ◽  
pp. 75-95
Author(s):  
Hyun Song Shin
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Pension Funds ◽  
Fixed Income ◽  
Asset Liability Management ◽  
Life Insurers ◽  
Liability Management ◽  
Demand Curves

Life insurers and pension funds have obligations to policy holders and beneficiaries and hold fixed income assets to meet those obligations. Asset-liability management matches the duration of assets to duration of liabilities to minimise risks from interest rate changes. However, this rule can lead to upward sloping demand curves for fixed income assets and can lead to overshooting of long-term interest rates.

scholarly journals The Study of Mean-Variance Risky Asset Management with State-Dependent Risk Aversion under Regime Switching Market

2021 ◽  
Vol 2021 ◽  
pp. 1-15
Author(s):  
Shuang Li ◽  
Yu Yang ◽  
Yanli Zhou ◽  
Yonghong Wu ◽  
Xiangyu Ge
Keyword(s):  
Risk Aversion ◽  
Asset Management ◽  
Regime Switching ◽  
Asset Liability Management ◽  
Risky Assets ◽  
Liability Management ◽  
State Dependent ◽  
Optimal Value ◽  
Time Inconsistent ◽  
Mean Variance

How do investors require a distribution of the wealth among multiple risky assets while facing the risk of the uncontrollable payment for random liabilities? To cope with this problem, firstly, this paper explores the approach of asset-liability management under the state-dependent risk aversion with only risky assets, which has been considered under a continuous-time Markov regime-switching setting. Next, based on this realistic modelling, an extended Hamilton-Jacob-Bellman (HJB) system has been necessarily established for solving the optimization problem of asset-liability management. It has been derived closed-form analytical expressions applied in the time-inconsistent investment with optimal control theory to see that happens to the optimal value of the function. Ultimately, numerical examples presented with comparisons of the analytical results under different market conditions are exposed to analyse numerically the developed mean variance asset liability management strategy. We find that our proposed model can explain the financial phenomena more effectively and accurately.

Sign in / Sign up

Export Citation Format

Share Document