Integrated Asset Liability Modelling for Property Casuality Insurance: A Portfolio Theoretical Approach

In this paper we have developed a financial model of the non-life insurer to provide assistance for the management of the insurance company in making decisions on product, investment and reinsurance mix. The model is based on portfolio theory and recognizes the stochastic nature of and the interaction between the underwriting and investment income of the insurance business. In the context of an empirical application we illustrate howa portfolio optimisation approach can be used for asset-liability management.

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Year of publication:	2001-10-01
Authors:	Dus, Ivica ; Maurer, Raimond
Publisher:	Universität <Frankfurt, Main> / Fachbereich Wirtschaftswissenschaften
Subject:	Versicherung \| Portfoliomanagement \| portfolio management \| Bilanzstrukturmanagement

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Extent:	128000 bytes 18 p. application/pdf
Series:	Universität Frankfurt - Abteilung Finanzen - WP Working Paper Series Finance & Accounting ; 83 (2001) M. Rudolf, H. Leser (2002): Handbuch Institutionelles Asset Management, Wiesbaden: Gabler, S. 447-464
Type of publication:	Book / Working Paper
Language:	English
Classification:	C10 - Econometric and Statistical Methods: General. General ; G12 - Asset Pricing ; G31 - Capital Budgeting; Investment Policy ; G33 - Bankruptcy; Liquidation ; Financial theory ; Management of insurance ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005844561