Dynamic Asset Liability Management A Method for Optimising Investment Strategy

Autor:	Ed Morgan, Jeremy Kent, Aldo Balestreri
Rok vydání:	2011
Předmět:	Statistics and Probability Finance Economics and Econometrics Work (electrical) business.industry Investment strategy Economic capital Mathematical finance Liability Asset (economics) Statistics Probability and Uncertainty business Financial services
Zdroj:	European Actuarial Journal. 1:29-46
ISSN:	2190-9741 2190-9733
Popis:	In recent years, many insurers have done significant work on their asset-liability management (ALM). Many life insurers have very sophisticated models of their assets and liabilities, although often the focus of these has not been on operational ALM and about the use of models to improve the investment strategy of the companies, but rather on longer-term projections for MCEV or economic capital. Therefore, it seems timely to discuss what advances can be made in the area of dynamic asset liability management.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::fadbf0b99c3ad3f198b5616a436f80ab https://doi.org/10.1007/s13385-011-0011-7 Zobrazit plný text záznamu