Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 马家俊教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1080/10920277.2009.10597562 |
引用次数
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/3Scopus source URL
其它资讯
摘要We propose a scenario-based optimization framework for solving the cash flow matching problem where the time horizon of the liabilities is longer than the maturities of available bonds and the interest rates are uncertain. Standard interest rate models can be used for scenario generation within this framework. The optimal portfolio is found by minimizing the cost at a specific level of shortfall risk measured by the conditional tail expectation (CTE), also known as conditional valueat-risk (CVaR) or Tail-VaR. The resulting optimization problem is still a linear program (LP) as in the classical cash flow matching approach. This framework can be employed in situations when the classical cash flow matching technique is not applicable.
着者Iyengar G., Ma A.K.C.
期刊名称North American Actuarial Journal
出版年份2009
月份12
日期1
卷号1http://aims.cuhk.edu.hk/converis/portal/Publication/3
期次http://aims.cuhk.edu.hk/converis/portal/Publication/3
出版社Society of Actuaries
出版地United States
页次http://aims.cuhk.edu.hk/converis/portal/Publication/370 - http://aims.cuhk.edu.hk/converis/portal/Publication/384
国际标準期刊号1092-0277
语言英式英语
