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Pension funds with longevity risk : an optimal portfolio insurance approach

Di Giacinto, Marina; Mancinelli, Daniele; Marino, Mario; … - 2024

Persistent link: https://www.econbiz.de/10015357881

Database Structure for a Multi Stage Stochastic Optimization Based Decision Support System for Asset – Liability Management of a Life Insurance Company

Rao, Harish - 2014

We introduce astochastic optimization based decision support system (DSS) for asset-liability management of a life insurance firm using a multi-stage, stochastic optimization model. The DSS is based on a multi-stage stochastic linear program (SLP) with recourse for strategic planning. The model...

Persistent link: https://www.econbiz.de/10013049298

Computational framework for longevity risk management

D'Amato, Valeria; Haberman, Steven; Piscopo, Gabriella; … - In: Computational Management Science : CMS 11 (2014) 1/2, pp. 111-137

Persistent link: https://www.econbiz.de/10010251207

Database structure for a multi stage stochastic optimization based decision support system for asset : liability management of a life insurance company

Rao, Harish V.; Dutta, Goutam; Basu, Sankarshan - 2014

Persistent link: https://www.econbiz.de/10010370283

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

Gerstner, Thomas Stefan; Griebel, Michael; Holtz, Markus - In: Insurance / Mathematics & economics 44 (2009) 3, pp. 434-446

Persistent link: https://www.econbiz.de/10009517620

Optimal mean-variance efficiency of a family with life insurance under inflation risk

Liang, Zongxia; Zhao, Xiaoyang - In: Insurance / Mathematics & economics 71 (2016), pp. 164-178

Persistent link: https://www.econbiz.de/10011630638

New asset liability management model with decision support system for life insurance companies : interface design issues for database and mathematical models

Rao, Harish V.; Dutta, Gautam; Basu, Sankarshan - In: International journal of revenue management : IJRM 10 (2017/2018) 3/4, pp. 259-289

Persistent link: https://www.econbiz.de/10012006141

A large-scale optimization model for replicating portfolios in the life insurance industry

Adelmann, Maximilian; Fernandez-Arjona, Lucio; Mayer, János - In: Operations research 69 (2021) 4, pp. 1134-1157

Persistent link: https://www.econbiz.de/10012625163

Life insurance decisions under recursive utility

Reitzel Jensen, Ninna - In: Scandinavian actuarial journal 2019 (2019) 3, pp. 204-227

Persistent link: https://www.econbiz.de/10012194947

Optimal investment problem for life insurance company by considering health-level

Chen, Jiachen; Rong, Ximin; Zhao, Hui - In: Modern economy 10 (2019) 4, pp. 1107-1120

Persistent link: https://www.econbiz.de/10012104774