Optimal asset allocation for a general portfolio of life insurance policies

DOI10.1016/J.INSMATHECO.2009.10.002MaRDI QIDQ659221zbMATH OpenOpenAlexFDO

Authors Hong-Chih Huang, Yung-Tsung Lee

Publication date 10 February 2012

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2009.10.002

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial applications of other theories (91G80)

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Cites work

• Asset and liability management under a continuous-time mean-variance optimization framework
• Asymptotic and numerical analysis of the optimal investment strategy for an insurer
• scientific article; zbMATH DE number 3761788 (Why is no real title available?)
• Moments of the present value of a portfolio of policies
• On life insurance reserves in a stochastic mortality and interest rates environment
• On the accumulated aggregate surplus of a life portfolio.
• On the control of defined-benefit pension plans
• Optimal investment for an insurer: the martingale approach
• Stochastic analysis of a portfolio of endowment insurance policies

Cited in

(11)

• Optimal asset allocation in life annuities: a note.
• On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes
• Reactive investment strategies
• A bi-level optimization model for the asset-liability management of insurance companies
• Nonparametric estimation of net premium functionals for different statuses in collective life insurance
• scientific article; zbMATH DE number 1304953 (Why is no real title available?)
• OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION
• Un metodo di valutazione di un portafoglio assicurativo vita
• A large-scale optimization model for replicating portfolios in the life insurance industry
• Das iterierte Cash Flow Matching am Beispiel der sofort beginnenden Rentenversicherung gegen Einmalbeitrag
• Applying simulation optimization to the asset allocation of a property-casualty insurer

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