Interaction between asset liability mana
โ
Deelstra, Griselda ;Janssen, Jacques
๐
Article
๐
1998
๐
John Wiley and Sons
๐
English
โ 130 KB
๐ 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