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 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
| 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): | 11.10.2005 |
| Year of first Publication: | 2001 |
| Publishing Institution: | Univ.-Bibliothek Frankfurt am Main |
| 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): |  Veröffentlichungsvertrag für Publikationen ohne Print on Demand |
