scientific article; zbMATH DE number 802753

MaRDI QIDQ4849865zbMATH OpenFDO

Authors Jacques Janssen

Publication date 18 March 1996

zbMATH Keywords

asset liability managementdynamic stochastic modelinsuranceportfolio selectionruin probabilitysimulation

Mathematics Subject Classification ID

Economic growth models (91B62)

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Cited in

(9)

• Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance
• ALM models based on second order stochastic dominance
• A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula
• Dynamic portfolio management for property and casualty insurance
• scientific article; zbMATH DE number 2169761 (Why is no real title available?)
• Strategic asset allocation for life insurers with stochastic liability
• Efficient Stochastic Modeling for Large and Consolidated Insurance Business: Interest Rate Sampling Algorithms
• Long-term stability of a life insurer's balance sheet
• A general asset-liability management model for the efficient simulation of portfolios of life insurance policies

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