Continuous-time dynamic programming for ALM with Risk averse loss functions

Research output: Chapter in Book / Report / Conference proceeding › Conference contribution › Professional

Original language	English
Title of host publication	Proceedings of the 9th International AFIR Colloquium 1999
Place of Publication	Tokyo
Publisher	The Institute of Actuaries of Japan
Pages	183-194
Publication status	Published - 1999
Event	Conferentie - Tokyo Duration: 1 Jan 1999 → 1 Jan 1999

Conference	Conferentie
Period	1/01/99 → 1/01/99

Persistent URL (handle)

@inproceedings{15d4e51187eb41a19b3fb22dbaecba91,

title = "Continuous-time dynamic programming for ALM with Risk averse loss functions",

author = "A.H. Siegmann and A. Lucas",

year = "1999",

language = "English",

pages = "183--194",

booktitle = "Proceedings of the 9th International AFIR Colloquium 1999",

publisher = "The Institute of Actuaries of Japan",

note = "Conferentie ; Conference date: 01-01-1999 Through 01-01-1999",

}

TY - GEN

T1 - Continuous-time dynamic programming for ALM with Risk averse loss functions

AU - Siegmann, A.H.

AU - Lucas, A.

PY - 1999

Y1 - 1999

M3 - Conference contribution

SP - 183

EP - 194

BT - Proceedings of the 9th International AFIR Colloquium 1999

PB - The Institute of Actuaries of Japan

CY - Tokyo

T2 - Conferentie

Y2 - 1 January 1999 through 1 January 1999

ER -