IDEAS home Printed from https://ideas.repec.org/h/pal/palchp/978-0-230-30723-0_5.html
   My bibliography  Save this book chapter

Asset Liability Management Modelling with Risk Control by Stochastic Dominance

In: Asset and Liability Management Handbook

Author

Listed:
  • Xi Yang
  • Jacek Gondzio
  • Andreas Grothey

Abstract

The Asset Liability Management (ALM) problem has crucial importance for pension funds, insurance companies and banks whose business involves a large amount of liquidity. Indeed, these financial institutions apply ALM to guarantee meeting their liabilities while pursuing profit. The liabilities may take different forms: pensions paid to the members of the scheme in a pension fund, savers’ deposits paid back in a bank or benefits paid to insurers in an insurance company. A common feature of these problems is the uncertainty of liabilities and asset returns and the resulting risk of underfunding. This con-stitutes a non-trivial difficulty in managing risk in any model applied by the financial institution. The need for multi-period planning additionally compli-cates the problem.

Suggested Citation

  • Xi Yang & Jacek Gondzio & Andreas Grothey, 2011. "Asset Liability Management Modelling with Risk Control by Stochastic Dominance," Palgrave Macmillan Books, in: Gautam Mitra & Katharina Schwaiger (ed.), Asset and Liability Management Handbook, chapter 5, pages 110-138, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-30723-0_5
    DOI: 10.1057/9780230307230_5
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:palchp:978-0-230-30723-0_5. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.