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Chain Ladder Prediction and Asset Liability Management

โœ Scribed by Klaus D. Schmidt


Book ID
105618766
Publisher
Springer-Verlag
Year
1999
Tongue
German
Weight
338 KB
Volume
24
Category
Article
ISSN
1864-0281

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Interaction between asset liability mana
โœ Deelstra, Griselda ;Janssen, Jacques ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 130 KB ๐Ÿ‘ 2 views

In order to apply the ALM model of Janssen (see also References 2 and 3), to insurance companies, we study an extension of the model in which the asset fund A takes into account "xed-income securities. Therefore, we model the rates of return of the portfolio by a Vasicek process. The liability proce