A general asset – liability management model for the efficient simulation of portfolios of life insurance policies

Abstract

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… (More)

1 Figure or Table

Topics

  • Presentations referencing similar topics