Investment Portfolio Immuniyation Of Life Insurance Companies

Milijana Novovic

Montenegrin Journal of Economics, 2006, vol. 2, issue 3, 191-200

Abstract: Insurance companies operate at the markets investing their free reserves. The process of investments of free reserves has to be conducted according to the structure and maturity of insurance obligations. Asset Liability Management (ALM) is the main theoretical model for structuring optimal investment portfolio of insurance companies. Immunization strategy is a technique that life insurance companies use for the assetliability management. The technique of immunization measures the duration and convexity of life insurer's liabilities and assets and point to necessity of interest rate risk control.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:mje:mjejnl:v:2:y:2006:i:3:p:191-200

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