Optimal asset allocation for a general portfolio of life insurance policies
Asset liability matching remains an important topic in life insurance research. The objective of this paper is to find an optimal asset allocation for a general portfolio of life insurance policies. Using a multi-asset model to investigate the optimal asset allocation of life insurance reserves, this study obtains formulae for the first two moments of the accumulated asset value. These formulae enable the analysis of portfolio problems and a first approximation of optimal investment strategies. This research provides a new perspective for solving both single-period and multiperiod asset allocation problems in application to life insurance policies. The authors obtain an efficient frontier in the case of single-period method; for the multiperiod method, the optimal asset allocation strategies can differ considerably for different portfolio structures.
Year of publication: |
2010
|
---|---|
Authors: | Huang, Hong-Chih ; Lee, Yung-Tsung |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 46.2010, 2, p. 271-280
|
Publisher: |
Elsevier |
Subject: | Optimal asset allocation Multi-asset model |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
On the valuation of reverse mortgages with regular tenure payments
Lee, Yung-Tsung, (2012)
-
Optimal asset allocation for a general portfolio of life insurance policies
Huang, Hong-chih, (2010)
-
On the valuation of reverse mortgages with regular tenure payments
Lee, Yung-Tsung, (2012)
- More ...