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Risk and Asset Management: Introduction

✍ Scribed by Lionel Martellini


Book ID
111059221
Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
27 KB
Volume
15
Category
Article
ISSN
1354-7798

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πŸ“œ SIMILAR VOLUMES


Interaction between asset liability mana
✍ Deelstra, Griselda ;Janssen, Jacques πŸ“‚ Article πŸ“… 1998 πŸ› John Wiley and Sons 🌐 English βš– 130 KB πŸ‘ 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