Integrated asset liability modelling for property casuality insurance : a portfolio theoretical approach

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 bas
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. JEL-Classification: C10, G12, G31, G33
show moreshow less

Download full text files

Export metadata

  • Export Bibtex
  • Export RIS

Additional Services

    Share in Twitter Search Google Scholar
Metadaten
Author:Ivica Duš, Raimond Maurer
URN:urn:nbn:de:hebis:30-18383
Series (Serial Number):Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting (083)
Document Type:Working Paper
Language:English
Date of Publication (online):2005/10/11
Year of first Publication:2001
Publishing Institution:Univ.-Bibliothek Frankfurt am Main
Release Date:2005/10/11
Tag:Asset Liability Management ; Insurance; Portfolio Optimization
Source:Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting ; 83
HeBIS PPN:201545365
Institutes:Wirtschaftswissenschaften
Dewey Decimal Classification:330 Wirtschaft
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

$Rev: 11761 $