Individual and institutional asset liability management
One of the classical problems in finance is that of an economic unit who aims
at maximizing his expected life-time utility from consumption and/or terminal wealth by an
effective asset-liability management. The purpose of this thesis is to determine the optimal investment strategies , from the point of view of their economic utility, for individual and institutional investors such pension funds.
School:Université catholique de Louvain
Source Type:Master's Thesis
Keywords:stochastic control pension funds optimization mortality risk longevity asset liability management annuity puzzle
Date of Publication:09/25/2007