This paper presents an optimal portfolio balancing strategy for a pension fund manager in the presence of fixed and proportional transaction costs for trading stocks and changes in net contribution. An analytic solution to the one-period problem is presented and a heuristic method for a...

We discuss deterministic asset liability management methods for insurance business and consider a few hedging strategies for the interest rate risks by approximating the changes in surplus according to the changes in interest rates. We show that the first and the second derivative matching would...