Results 241 to 250 of about 9,018,065 (285)

A MODEL FOR THE OPTIMAL ASSET-LIABILITY MANAGEMENT FOR INSURANCE COMPANIES

International Journal of Theoretical and Applied Finance, 2003
This paper is devoted to the formulation of a model for the optimal asset-liability management for insurance companies. We focus on a typical guaranteed investment contract, by which the holder has the right to receive after T years a return that cannot be lower than a minimum predefined rate rg.
Bernaschi M, Briani M, Gozzi F, Papi M, Sbaraglia S   +4 more
openaire   +5 more sources

Manage Assets, Liabilities, and Equity

2012
Managing the balance sheet can be more difficult than it needs to be. The following is a list of some of the reasons: 1. Sales wants to disregard concerns about creditworthiness and past due receivables. 2. Manufacturing wants to postpone writing off obsolete inventory to conceal mistakes.
openaire   +1 more source

Asset-liability Optimization for Pension Fund Management

2000
We describe the problem of optimal asset allocation for a pension fund as a stochastic dynamic programming problem. We discuss the model generation, the formulation of the objective and solution methods. The original problem is nonconvex, but convex approximations can be found.
Pflug, G.C., Swietanowski, A.
openaire   +2 more sources

Asset Liability Management for Banks [PDF]

, 2008
The model, by using a contingent claim approach, determines the fair value of the banks liabilities accounting for the protection and the surrender possibility. Furthermore, it determines the implied duration of banks liabilities so to show that the surrender possibility will reduce the effective duration of banks liabilities.
openaire  

Chain Ladder Prediction and Asset Liability Management

Blätter der DGVFM, 1999
The chain ladder method is one of the most common methods of loss reserving. From the practical point of view, there are two arguments in favour of the chain ladder method: The method is simple, and it exploits all data from the run-oft triangle. These arguments, however, do not settle the question whether or not the chain ladder method is preferable ...
openaire   +2 more sources

Banking Risks in the Asset and Liability Management System

Journal of Risk and Financial Management, 2022
Oleksandr Olshanskiy, Valentyna Shevchenko   +1 more
exaly  

Asset-Liability Management

2020
Hennie Van Greuning, Sofija-Sonja Brajovic Bratanovic   +1 more
openaire   +1 more source

Asset-Liability Management Techniken

1995
Asset-Liability Management setzt eine Analyse der Ist-Situation und einer Prognose fur die zukunftige Entwicklung der Risiken voraus. Dem Asset-Liability Manager steht bei der Erfullung dieser Aufgaben mittlerweile eine Vielzahl von Techniken zur Verfugung. Um eine Ubersicht zu gewinnen, bietet sich eine Systematisierung der Techniken an.
openaire   +1 more source

Robust optimal asset-liability management with penalization on ambiguity

Journal of Industrial and Management Optimization, 2022
Hui Mi
exaly  

Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model

Stochastic Models, 2022
Xiaowei Chen, Fuzhe Huang
exaly