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Mean–variance asset–liability management: Cointegrated assets and insurance liability
European Journal of Operational Research, 2012zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hoi Ying Wong, Mei Choi Chiu
exaly +2 more sources
High-Performance Computing for Asset-Liability Management
Operations Research, 2001Financial institutions require sophisticated tools for risk management. For companywide risk management, both sides of the balance sheet should be considered, resulting in an integrated asset-liability management approach. Stochastic programming models suit these needs well and have already been applied in the field of asset-liability management to ...
Roy Kouwenberg, Jacek Gondzio
exaly +4 more sources
2006
Market valuation of assets is a topic that has been discussed for quite some time now, but the valuation of pension contracts including all embedded options is a major challenge for pension fund policy makers. On top of that, pension fund beneficiaries are increasingly demanding more transparency with regard to the exact nature of their pension ...
Rob Bauer +2 more
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Market valuation of assets is a topic that has been discussed for quite some time now, but the valuation of pension contracts including all embedded options is a major challenge for pension fund policy makers. On top of that, pension fund beneficiaries are increasingly demanding more transparency with regard to the exact nature of their pension ...
Rob Bauer +2 more
openaire +3 more sources
Asset and Liability Management
2000Asset and liability management is the simultaneous consideration of assets and liabilities in strategic investment planning. The asset and liability management models in the literature are reviewed with an emphasis on the recently developed approaches. In most of the recent models, the uncertainty is described by a representative set of scenarios.
Rachev, Svetlozar T., Tokat, Y.
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Asset-Liability Management: An Overview
2010Relevant literature on asset-liability management (ALM) is reviewed and different ALM approaches are discussed that may be of interest to the Bank of Canada for the purpose of modelling the Exchange Fund Account (EFA). The author describes the general idea behind ALM, its pros and cons, risk measures and strategies, as well as some applications ...
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Dynamic stochastic programmingfor asset-liability management
Annals of Operations Research, 1998zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Giorgio Consigli, M. A. H. Dempster
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Mean–variance asset–liability management with asset correlation risk and insurance liabilities
Insurance: Mathematics and Economics, 2014zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mei Choi Chiu, Hoi Ying Wong
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2019
Life insurers and pension funds have obligations to policy holders and beneficiaries and hold fixed income assets to meet those obligations. Asset-liability management matches the duration of assets to duration of liabilities to minimise risks from interest rate changes.
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Life insurers and pension funds have obligations to policy holders and beneficiaries and hold fixed income assets to meet those obligations. Asset-liability management matches the duration of assets to duration of liabilities to minimise risks from interest rate changes.
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Asset and Liability Management
1979The purpose of this chapter is to analyse the approach taken by international banking leadership to the management of the portion of their bank’s balance sheet for which they have responsibility. Separate volumes in this series deal in detail with loan portfolio management (International Lending by Commercial Banks, by T. H.
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