Cash flow techniques for asset liability management

DOI10.1080/03461238.2019.1657936MaRDI QIDQ4959770zbMATH OpenOpenAlexWikidataFDO

Authors Kim Aguirre Nolsøe, Dieter Degrijse, Sofie Ahm, Kristoffer Brix, Mads Storgaard, Jesper Strodl

Publication date 7 April 2020

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2019.1657936

zbMATH Keywords

cash flowliability modelinglife insurance

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

• An Introduction to Markov Processes
• Cash flows and policyholder behaviour in the semi-Markov life insurance setup
• scientific article; zbMATH DE number 5151672 (Why is no real title available?)
• Probability with Martingales
• Reserves in Life and Pension Insurance

Cited in

(8)

• A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula
• Derivation of biometrically dependent cash flows
• Pricing time-to-event contingent cash flows: a discrete-time survival analysis approach
• scientific article; zbMATH DE number 1225276 (Why is no real title available?)
• scientific article; zbMATH DE number 2011599 (Why is no real title available?)
• Cash flow risk management in the property/liability insurance industry: a dynamic factor modeling approach
• Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model
• Das iterierte Cash Flow Matching am Beispiel der sofort beginnenden Rentenversicherung gegen Einmalbeitrag

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