A Full and Synthetic Model for Asset-Liability Management in Life Insurance, and Analysis of the SCR With the Standard Formula

SSRN Electronic Journal ◽

10.2139/ssrn.3431151 ◽

2019 ◽

Author(s):

Aurélien Alfonsi ◽

Adel Cherchali ◽

Jose Infante

Keyword(s):

Life Insurance ◽

Asset Liability Management ◽

Synthetic Model ◽

Liability Management ◽

Standard Formula

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A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula

European Actuarial Journal ◽

10.1007/s13385-020-00240-3 ◽

2020 ◽

Vol 10 (2) ◽

pp. 457-498

Author(s):

Aurélien Alfonsi ◽

Adel Cherchali ◽

Jose Arturo Infante Acevedo

Keyword(s):

Life Insurance ◽

Asset Liability Management ◽

Synthetic Model ◽

Liability Management ◽

Standard Formula

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Asset/Liability Management of German Life Insurance Companies: A Value-at-Risk Approach in the Presence of Interest Rate Guarantees

Risk Management ◽

10.1007/3-540-26993-2_20 ◽

2005 ◽

pp. 407-419

Author(s):

Peter Albrecht ◽

Carsten Weber

Keyword(s):

At Risk ◽

Interest Rate ◽

Life Insurance ◽

Value At Risk ◽

Insurance Companies ◽

Asset Liability Management ◽

Liability Management ◽

A Value ◽

Risk Approach ◽

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Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2008.12.003 ◽

2009 ◽

Vol 44 (3) ◽

pp. 434-446 ◽

Author(s):

Thomas Gerstner ◽

Michael Griebel ◽

Markus Holtz

Keyword(s):

Numerical Simulation ◽

Life Insurance ◽

Asset Liability Management ◽

Management Models ◽

Liability Management

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Life Insurance Asset-Liability Management: An International Survey

The Geneva Papers on Risk and Insurance Issues and Practice ◽

10.1057/gpp.1997.11 ◽

1997 ◽

Vol 22 (1) ◽

pp. 128-142 ◽

Author(s):

M Smink ◽

R A H van der Meer

Keyword(s):

Life Insurance ◽

International Survey ◽

Asset Liability Management ◽

Liability Management

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Pricing of Margrabe Options for Large Investors with Application to Asset-Liability Management in Life Insurance

Journal of Mathematical Finance ◽

10.4236/jmf.2014.42011 ◽

2014 ◽

Vol 04 (02) ◽

pp. 113-122

Author(s):

Erik Bølviken ◽

Frank Proske ◽

Mark Rubtsov

Keyword(s):

Life Insurance ◽

Asset Liability Management ◽

Liability Management

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A general asset–liability management model for the efficient simulation of portfolios of life insurance policies

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2007.07.007 ◽

2008 ◽

Vol 42 (2) ◽

pp. 704-716 ◽

Author(s):

Thomas Gerstner ◽

Michael Griebel ◽

Markus Holtz ◽

Ralf Goschnick ◽

Marcus Haep

Keyword(s):

Life Insurance ◽

Management Model ◽

Asset Liability Management ◽

Efficient Simulation ◽

Insurance Policies ◽

Liability Management

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Fads and Fallacies in Asset Liability Management for Life Insurance

Proceedings of the 2004 Winter Simulation Conference, 2004. ◽

10.1109/wsc.2004.1371516 ◽

2005 ◽

Author(s):

G. Lord

Keyword(s):

Life Insurance ◽

Asset Liability Management ◽

Liability Management

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Analyzing legal regulations in the Norwegian life insurance business using a multistage asset–liability management model

European Journal of Operational Research ◽

10.1016/s0377-2217(00)00262-9 ◽

2001 ◽

Vol 134 (2) ◽

pp. 293-308 ◽

Author(s):

Kjetil Høyland ◽

Stein W. Wallace

Keyword(s):

Life Insurance ◽

Management Model ◽

Legal Regulations ◽

Asset Liability Management ◽

Liability Management ◽

Insurance Business

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Asset liability management model with decision support system for life insurance companies: Computational results

Computers & Industrial Engineering ◽

10.1016/j.cie.2018.06.033 ◽

2019 ◽

Vol 128 ◽

pp. 985-998 ◽

Author(s):

Goutam Dutta ◽

Harish V. Rao ◽

Sankarshan Basu ◽

Manoj Kr. Tiwari

Keyword(s):

Decision Support ◽

Decision Support System ◽

Support System ◽

Life Insurance ◽

Insurance Companies ◽

Management Model ◽

Computational Results ◽

Asset Liability Management ◽

Liability Management

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Numerical Simulation for Asset-Liability Management in Life Insurance

Mathematics – Key Technology for the Future ◽

10.1007/978-3-540-77203-3_20 ◽

2008 ◽

pp. 319-341 ◽

Author(s):

T. Gerstner ◽

M. Griebel ◽

M. Holtz ◽

R. Goschnick ◽

M. Haep

Keyword(s):

Numerical Simulation ◽

Life Insurance ◽

Asset Liability Management ◽

Liability Management

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