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A dynamic stochastic ALM model for insurance companies

In: Advances in Stochastic Modelling and Data Analysis

Author

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  • Jacques Janssen

    (CADEPS-ULB, SOLVAY Business School & Dpt of Mathematics-Actuarial Section)

Abstract

The aim of this paper is to construct a dynamic stochastic model useful for the ALM in insurance companies. Our approach extends the one of JANSSEN (1991), ARS & JANSSEN (1994) and BERGHENDHAL & JANSSEN (1994) with segmentations of assets and liabilities which may be dependent. This extension is quite important to obtain a useful simulation ALM model and furthermore to get the connection with portfolio selection. Moreover, we present a new concept of duration for continuous time stochastic ALM models.

Suggested Citation

  • Jacques Janssen, 1995. "A dynamic stochastic ALM model for insurance companies," Springer Books, in: Jacques Janssen & Christos H. Skiadas & Constantin Zopounidis (ed.), Advances in Stochastic Modelling and Data Analysis, pages 3-28, Springer.
    • Handle: RePEc:spr:sprchp:978-94-017-0663-6_1
    DOI: 10.1007/978-94-017-0663-6_1
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