A dynamic stochastic ALM model for insurance companies

Jacques Janssen
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Jacques Janssen: CADEPS-ULB, SOLVAY Business School & Dpt of Mathematics-Actuarial Section

A chapter in Advances in Stochastic Modelling and Data Analysis, 1995, pp 3-28 from Springer

Abstract: Abstract The aim of this paper is to construct a dynamic stochastic model useful for the ALM in insurance companies. Our approach extends the one of JANSSEN (1991), ARS & JANSSEN (1994) and BERGHENDHAL & JANSSEN (1994) with segmentations of assets and liabilities which may be dependent. This extension is quite important to obtain a useful simulation ALM model and furthermore to get the connection with portfolio selection. Moreover, we present a new concept of duration for continuous time stochastic ALM models.

Keywords: Asset Liability Management; Black and Scholes Model; Duration; Ruin Probability (search for similar items in EconPapers)
Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-94-017-0663-6_1

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DOI: 10.1007/978-94-017-0663-6_1

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