Time inconsistent asset-liability management with partial information

摘要

In this paper, we study a time inconsistent asset-liability management problem of an insurance firm, where the liability is controllable, the surplus is partially observable. We introduce the open-loop equilibrium premium operator (OLEPO), by which the open-loop equilibrium premium strategy (OLEPS) can be represented. We give the characterization and explicit forms of OLEPO, and also obtain the existence and uniqueness of OLEPS, which is a feedback form of surplus filtering estimate. (C) 2020 Elsevier B.V. All rights reserved.