Long‐Term Economic and Market Trends and Their Implications for Asset/Liability Management of Insurance Companies

2003 ◽  
Vol 4 (2) ◽  
pp. 5-18 ◽  
Author(s):  
CHRISTIAN GILLES ◽  
LARRY RUBIN ◽  
JOHN RYDING ◽  
LEO M. TILMAN ◽  
AJAY RAJADHYAKSHA
Keyword(s):  
Insurance Companies ◽  
Asset Liability Management ◽  
Liability Management ◽  
Market Trends

OPTIMAL PORTFOLIOS OF CORPORATE BONDS AND HOLD TO MATURITY STRATEGIES

2015 ◽  
Vol 10 (02) ◽  
pp. 1550010
Author(s):  
YAACOV KOPELIOVICH
Keyword(s):  
Corporate Bond ◽  
Insurance Companies ◽  
Asset Liability Management ◽  
Optimal Portfolios ◽  
Optimal Weights ◽  
Liability Management ◽  
Simulation Based ◽  
Copula Approach ◽  
Bond Portfolios ◽  
Bond Indices

In this paper, we initiate a research on optimal bond portfolios, that are held to their maturity. We solve the problem analytically for log utility investor in the case of one risky corporate asset. We compare the behavior of these portfolios to equally weighted and portfolios with randomly selected weights. We apply simulation based on Vasicek’s copula approach to derive optimal weights for a corresponding problem involving more than one corporate bond. Further we discover that these portfolios outperform naive investment in constant maturity (CCM) bond indices with a similar maturity horizon. We explain possible application of our findings to boost asset liability management (ALM) strategies for pensions and insurance companies.

Asset-Liability Management

2019 ◽  
pp. 75-95
Author(s):  
Hyun Song Shin
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Pension Funds ◽  
Fixed Income ◽  
Asset Liability Management ◽  
Life Insurers ◽  
Liability Management ◽  
Demand Curves

Life insurers and pension funds have obligations to policy holders and beneficiaries and hold fixed income assets to meet those obligations. Asset-liability management matches the duration of assets to duration of liabilities to minimise risks from interest rate changes. However, this rule can lead to upward sloping demand curves for fixed income assets and can lead to overshooting of long-term interest rates.

GPU parallel implementation for asset-liability management in insurance companies

2018 ◽  
Vol 24 ◽  
pp. 232-254 ◽  
Author(s):  
José L. Fernández ◽  
Ana M. Ferreiro-Ferreiro ◽  
José A. García-Rodríguez ◽  
Carlos Vázquez
Keyword(s):  
Parallel Implementation ◽  
Insurance Companies ◽  
Asset Liability Management ◽  
Liability Management
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