Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market

摘要: This paper investigates continuous-time asset-liability management under benchmark and mean-variance criteria in a jump diffusion market. Specifically, the authors consider one risk-free asset, risky asset liability, where asset’s price is governed by an exponential Levy process, liability evolves according to there exists correlation between liability. Two models are established. One model other model. The solved employing stochastic dynamic programming its results extended adopting duality theory. Closed-form solutions of two derived.