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
ENVIRONMENTAL MANAGEMENT SYSTEMS: ASSET OR LIABILITY?
β Scribed by Ben Vivian
- Publisher
- John Wiley and Sons
- Year
- 1997
- Weight
- 39 KB
- Volume
- 4
- Category
- Article
- ISSN
- 0968-9427
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