DocumentCode :
2169422
Title :
Fads and fallacies in asset liability management for life insurance
Author :
Lord, Graham
Author_Institution :
Dept. of Operations Res. & Financial Eng., Princeton Univ., NJ, USA
Volume :
2
fYear :
2004
fDate :
5-8 Dec. 2004
Firstpage :
1677
Abstract :
We shall examine the principles behind contemporary approaches to insurance risk management. Furthermore, we shall consider various methodologies, some successful, that have been or are currently employed to implement those principles. We shall illustrate these with several specific studies that show the identification, using simulation, of close-to-optimal investment strategies.
Keywords :
insurance; investment; risk management; asset liability management; close-to-optimal investment strategies; insurance risk management; life insurance; Asset management; Cost accounting; Economic indicators; Engineering management; Financial management; History; Insurance; Operations research; Reliability engineering; Technological innovation;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Simulation Conference, 2004. Proceedings of the 2004 Winter
Print_ISBN :
0-7803-8786-4
Type :
conf
DOI :
10.1109/WSC.2004.1371516
Filename :
1371516
Link To Document :
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