TY  - UNPD
A1  - Duš, Ivica
A1  - Maurer, Raimond
T1  - Integrated asset liability modelling for property casuality insurance : a portfolio theoretical approach
T2  - Universität Frankfurt am Main. Fachbereich Wirtschaftswissenschaften: [Working paper series / Finance and accounting] Working paper series, Finance & Accounting ; No. 83
N2  - In this paper we have developed a financial model of the non-life insurer to provide assistance for the management of the insurance company in making decisions on product, investment and reinsurance mix. The model is based on portfolio theory and recognizes the stochastic nature of and the interaction between the underwriting and investment income of the insurance business. In the context of an empirical application we illustrate howa portfolio optimisation approach can be used for asset-liability management.
T3  - Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting - 83 
KW  - Asset Liability Management
KW  - Portfolio Optimization
KW  - Insurance
KW  - Schadenversicherung
KW  - Portfoliomanagement
KW  - Bilanzstrukturmanagement
Y1  - 2001
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/3645
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-18383
PB  - Univ., Fachbereich Wirtschaftswiss.
CY  - Frankfurt am Main
ER  -