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Asset-Liability Management for Long-Term Insurance Business

Author

Listed:
  • Hansjoerg Albrecher

    (University of Lausanne and Swiss Finance Institute)

  • Daniel Bauer

    (University of Alabama)

  • Paul Embrechts

    (Swiss Federal Institute of Technology Zurich and Swiss Finance Institute)

  • Damir Filipović

    (Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute)

  • Pablo Koch-Medina

    (University of Zurich and Swiss Finance Institute)

  • Ralf Korn

    (University of Kaiserslautern)

  • Stéphane Loisel

    (University of Lyon 1)

  • Antoon Pelsser

    (Maastricht University)

  • Frank Schiller

    (MunichRe)

  • Hato Schmeiser

    (University of Muenster and University of St. Gallen)

  • Joël Wagner

    (University of Lausanne and Swiss Finance Institute)

Abstract

This is a summary of the main topics and findings from the Swiss Risk and Insurance Forum 2017. That event gathered experts from academia, insurance industry, regulatory bodies, and consulting companies to discuss past and current developments as well as future perspectives in dealing with asset-liability management for long-term insurance business. Topics include valuation, innovations in insurance products, investment, and modelling aspects.

Suggested Citation

  • Hansjoerg Albrecher & Daniel Bauer & Paul Embrechts & Damir Filipović & Pablo Koch-Medina & Ralf Korn & Stéphane Loisel & Antoon Pelsser & Frank Schiller & Hato Schmeiser & Joël Wagner, 2017. "Asset-Liability Management for Long-Term Insurance Business," Swiss Finance Institute Research Paper Series 17-69, Swiss Finance Institute, revised Jan 2018.
    • Handle: RePEc:chf:rpseri:rp1769
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    Cited by:

    1. Karim Barigou & Valeria Bignozzi & Andreas Tsanakas, 2021. "Insurance valuation: A two-step generalised regression approach," Post-Print hal-03043244, HAL.
    2. Florian Gach & Simon Hochgerner & Eva Kienbacher & Gabriel Schachinger, 2023. "Mean-field Libor market model and valuation of long term guarantees," Papers 2310.09022, arXiv.org, revised Nov 2023.
    3. Karim Barigou & Valeria Bignozzi & Andreas Tsanakas, 2020. "Insurance valuation: A two-step generalised regression approach," Papers 2012.04364, arXiv.org, revised Nov 2021.
    4. Karim Barigou & Valeria Bignozzi & Andreas Tsanakas, 2021. "Insurance valuation: A two-step generalised regression approach," Working Papers hal-03043244, HAL.
    5. Bauer, Daniel & Zanjani, George, 2021. "Economic capital and RAROC in a dynamic model," Journal of Banking & Finance, Elsevier, vol. 125(C).
    6. Aur'elien Alfonsi & Adel Cherchali & Jose Arturo Infante Acevedo, 2019. "A full and synthetic model for Asset-Liability Management in life insurance, and analysis of the SCR with the standard formula," Papers 1908.00811, arXiv.org.
    7. Delong, Łukasz & Dhaene, Jan & Barigou, Karim, 2019. "Fair valuation of insurance liability cash-flow streams in continuous time: Theory," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 196-208.
    8. Aigner, Philipp, 2023. "Identifying scenarios for the own risk and solvency assessment of insurance companies," ICIR Working Paper Series 48/23, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    9. Florian Gach & Simon Hochgerner, 2021. "Estimation of future discretionary benefits in traditional life insurance," Papers 2101.06077, arXiv.org, revised Jul 2022.

    More about this item

    Keywords

    asset-liability management; long-term insurance; valuation; insurance products; investments; models;
    All these keywords.

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

    NEP fields

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