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.
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Metadaten
Author:Ivica Duš, Raimond Maurer
URN:urn:nbn:de:hebis:30-18383
Parent Title (English):Universität Frankfurt am Main. Fachbereich Wirtschaftswissenschaften: [Working paper series / Finance and accounting] Working paper series, Finance & Accounting ; No. 83
Series (Serial Number):Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting (083)
Publisher:Univ., Fachbereich Wirtschaftswiss.
Place of publication:Frankfurt am Main
Document Type:Working Paper
Language:English
Year of Completion:2001
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
JEL-Classification:C10 General
G12 Asset Pricing; Trading volume; Bond Interest Rates
G31 Capital Budgeting; Fixed Investment and Inventory Studies
G33 Bankruptcy; Liquidation
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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