IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Optimal Funding of a Liability

  • Leslaw Gajek
  • Krzysztof Ostaszewski
Registered author(s):

    Funding of a given set of cash flow liabilities is typically arranged through level premium or a single premium. The question of optimality of the stream of premium payments has been largely ignored in the existing insurance literature. In this work, we propose a set of natural constraints on the premium flows and develop an optimal premium structure to fund any existing liability structure. The result shows how the least costly, yet actuarially sound, funding method—from the perspective of the insured or some more general paying agent—can be developed. The solution applies to either long-term or short-term models, but relies on deterministic assumptions, and thus is more likely to be applicable for shorter-term liabilities or those long term liabilities whose cash flows can be determined with great certainty.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.insuranceissues.org/PDFs/241GO.pdf
    Download Restriction: no

    Article provided by Western Risk and Insurance Association in its journal Journal of Insurance Issues.

    Volume (Year): 24 (2001)
    Issue (Month): 1/2 ()
    Pages: 17-29

    as
    in new window

    Handle: RePEc:wri:journl:v:24:y:2001:i:1:p:17-29
    Contact details of provider:

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:wri:journl:v:24:y:2001:i:1:p:17-29. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (James Barrese)

    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.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.