Cash flow matching: a risk management approach

DOI10.1080/10920277.2009.10597562MaRDI QIDQ5029076zbMATH OpenOpenAlexFDO

Authors G. Iyengar, Alfred Ka Chun Ma

Publication date 11 February 2022

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2009.10597562

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Statistical methods; risk measures (91G70) Optimal stochastic control (93E20)

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Cites work

• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure
• Application of Coherent Risk Measures to Capital Requirements in Insurance
• Asset/liability management under uncertainty for fixed-income securities
• Coherent measures of risk
• Dynamic stochastic programming for asset-liability management
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• Immunization of multiple liabilities
• Interest Rate Risk Management
• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
• On immunization, stop-loss order and the maximum Shiu measure.
• On the Fisher-Weil immunization theorem
• Pricing interest-rate-derivative securities
• Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition
• The Iterated Cte

Cited in

(9)

• Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk
• scientific article; zbMATH DE number 2011599 (Why is no real title available?)
• Balanced Risk Set Matching
• Firm behavioral response to multiple sources of risky cash flow
• Cash flow risk management in the property/liability insurance industry: a dynamic factor modeling approach
• Cash flow techniques for asset liability management
• Market-consistent valuation and funding of cash balance pensions
• Das iterierte Cash Flow Matching am Beispiel der sofort beginnenden Rentenversicherung gegen Einmalbeitrag
• Cashflow-driven investment beyond expectations

Describes a project that uses

Uses Software

• Mosek

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