A General Asset-Liability Management Model for the Efficient Simulation of Portfolios of Life Insurance Policies

@inproceedings{Gerstner2007AGA,
  title={A General Asset-Liability Management Model for the Efficient Simulation of Portfolios of Life Insurance Policies},
  author={Thomas Gerstner and Michael Griebel and Markus Holtz},
  year={2007}
}
New regulations and a stronger competition have increased the importance of stochastic asset–liability management (ALM) models for insurance companies in recent years. In this paper, we propose a discrete time ALM model for the simulation of simplified balance sheets of life insurance products. The model incorporates the most important life insurance product characteristics, the surrender of contracts, a reservedependent bonus declaration, a dynamic asset allocation and a two-factor stochastic… CONTINUE READING