Risk theory insight into the asset-liability and solvency adaptive management

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Vsevolod Malinovskii, Russie
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Summary:
In multiperiodic controlled (chained Poisson--Exponential) risk model, a set of control strategies is suggested and scrutinized. They are similar, but less sophisticated, than adaptive procedures well-established in modern insurance regulation.
 
Date: 2 June - Time: 10:30 to 12:00 - Room: 241
Theme: 1.B. Solvency measurements and asset-liability management