A stochastic Asset Liability Management model for life insurance companies
Year of publication: |
2023
|
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Authors: | Di Francesco, Marco ; Simonella, Roberta |
Published in: |
Financial markets and portfolio management. - Norwell, Mass. : Springer, ISSN 2373-8529, ZDB-ID 2097963-0. - Vol. 37.2023, 1, p. 61-94
|
Subject: | Asset Liability Management (ALM) | Least squares Monte Carlo technique | Life insurance | Nonlinearly constrained optimization problem | Surrender and new production models | Lebensversicherung | Theorie | Theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Monte-Carlo-Simulation | Monte Carlo simulation |
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