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

Vsevolod Malinovskii, Russie

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