scientific article; zbMATH DE number 802753

zbMATH Open0833.90014MaRDI QIDQ4849865FDOQ4849865

Authors: Jacques Janssen 

Publication date: 18 March 1996

Title of this publication is not available (Why is that?)

Recommendations

• A general asset-liability management model for the efficient simulation of portfolios of life insurance policies
• A MODEL FOR THE OPTIMAL ASSET-LIABILITY MANAGEMENT FOR INSURANCE COMPANIES
• Long-term stability of a life insurer's balance sheet
• Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance
• Strategic asset allocation for life insurers with stochastic liability

zbMATH Keywords

simulationportfolio selectionruin probabilityinsuranceasset liability managementdynamic stochastic model

Mathematics Subject Classification ID

Economic growth models (91B62)

Cited In (9)

• A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula
• ALM models based on second order stochastic dominance
• Dynamic portfolio management for property and casualty insurance
• A general asset-liability management model for the efficient simulation of portfolios of life insurance policies
• Strategic asset allocation for life insurers with stochastic liability
• Long-term stability of a life insurer's balance sheet
• Title not available (Why is that?)
• Efficient Stochastic Modeling for Large and Consolidated Insurance Business: Interest Rate Sampling Algorithms
• Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance

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