Foreign-currency interest-rate swaps in asset-liability management for insurers

DOI10.1007/S13385-013-0069-5zbMATH Open1270.91089OpenAlexW2169694820MaRDI QIDQ362043FDOQ362043

Authors: Jonas Alm, Filip Lindskog 

Publication date: 20 August 2013

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-013-0069-5

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zbMATH Keywords

extreme-value statisticsasset-liability managementextreme scenariosinterest-rate swapssolvency capital requirements

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• An introduction to statistical modeling of extreme values
• Statistics for near independence in multivariate extreme values
• Extreme value theory. An introduction.
• A GENERAL METHOD FOR APPROXIMATING TO THE DISTRIBUTION OF LIKELIHOOD RATIO CRITERIA
• The Large-Sample Distribution of the Likelihood Ratio for Testing Composite Hypotheses
• Multivariate generalized Pareto distributions
• Confidence intervals and accuracy estimation for heavy-tailed generalized Pareto distributions
• Multivariate stress scenarios and solvency

Cited In (3)

• Interest rate swaps under CIR.
• Foreign investments of Japanese life insurance companies
• Measuring Foreign Exchange Risk in Insurance Transactions

Uses Software

• ismev

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