Cash flow techniques for asset liability management

Kim Aguirre Nolsøe, Dieter Degrijse, Sofie Ahm, Kristoffer Brix, Mads Storgaard and Jesper Strodl

Scandinavian Actuarial Journal, 2020, vol. 2020, issue 3, 196-217

Abstract: Motivated by Solvency II, requiring the incorporation of policyholder behavior and portfolio performance into the liability modeling of a life insurance company, we propose some new techniques to efficiently compute future values of the first-order reserve and the third order cash flow under varying economic scenarios.

Date: 2020
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DOI: 10.1080/03461238.2019.1657936

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