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Asset Liability Management for Pension Funds: A Multistage Chance Constrained Programming Approach
, 1995 Cees Dert
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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
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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.
Chiu, Mei Choi, Wong, Hoi Ying
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1997
Asset Liability Management (ALM) is a decisional tool that helps to manage interest rate risks and their correlated risks, with the objective of sustaining the profit or enriching the institution. The difficulty with the endeavor comes from the inadequate data system, the complexity of financial products; in particular, on the embedded options and the ...
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Asset Liability Management (ALM) is a decisional tool that helps to manage interest rate risks and their correlated risks, with the objective of sustaining the profit or enriching the institution. The difficulty with the endeavor comes from the inadequate data system, the complexity of financial products; in particular, on the embedded options and the ...
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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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Global Asset Liability Management
British Actuarial Journal, 2003ABSTRACT Dynamic financial analysis (DFA) is a technique which uses Monte Carlo simulation to investigate the evolution over time of financial models of funds, complex liabilities and entire firms. Although of increasing popularity, the drawback of DFA is the dearth of systematic methods for optimising model parameters for strategic financial ...
M. A. H. Dempster +3 more
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1995
In diesem Kapitel wird untersucht, was Asset-Liability Management bedeutet und wie es in Versicherungsunternehmen integriert werden kann. Hierzu wird zu Beginn des Kapitels die Frage nach der Notwendigkeit eines Asset-Liability Managements behandelt (4.1.). In Abschnitt 4.2. werden zunachst verschiedene Definitionen aus der Literatur diskutiert. Darauf
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In diesem Kapitel wird untersucht, was Asset-Liability Management bedeutet und wie es in Versicherungsunternehmen integriert werden kann. Hierzu wird zu Beginn des Kapitels die Frage nach der Notwendigkeit eines Asset-Liability Managements behandelt (4.1.). In Abschnitt 4.2. werden zunachst verschiedene Definitionen aus der Literatur diskutiert. Darauf
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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.
openaire +1 more source