A Framework for Treating Model Uncertainty in the Asset Liability Management Problem

The problem of asset liability management (ALM) is a classic problem of the financial mathematics and of great interest for the banking institutions and insurance companies. Several formulations of this problem under various model settings have been studied under the Mean-Variance (MV) principle perspective. In this paper, the ALM problem is revisited under the context of model uncertainty in the one-stage framework. In practice, uncertainty issues appear to several aspects of the problem, e.g. ...