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
✦ LIBER ✦
Covering investment risks, discounting liabilities and portfolio theory
✍ Scribed by W Hürlimann
- Publisher
- Elsevier Science
- Year
- 1993
- Tongue
- English
- Weight
- 102 KB
- Volume
- 12
- Category
- Article
- ISSN
- 0167-6687
No coin nor oath required. For personal study only.
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