A Stochastic Asset-Liability Management Model for Life Insurance Companies
We build a stochastic Asset Liability Management (ALM) model
for a life insurance company. Therefore, we deal with both an asset
portfolio, made up of bonds, equity and cash, and a liability portfolio,
comprising with-prot life insurance policies.
https://wsc.project.cwi.nl/abcxva/overview-research-programme/publications/esr4-roberta-simonella/alm_model_b.pdf/view
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A Stochastic Asset-Liability Management Model for Life Insurance Companies
We build a stochastic Asset Liability Management (ALM) model
for a life insurance company. Therefore, we deal with both an asset
portfolio, made up of bonds, equity and cash, and a liability portfolio,
comprising with-prot life insurance policies.