Yu, Tzu-Yi; Tsai, Chenghsien; Huang, Hsiao-Tzu; Chen, … - In: Applied Financial Economics 21 (2011) 7, pp. 505-518
The Dynamic Financial Analysis (DFA) system is a useful decision-support system for the insurer, but it lacks optimization capability. This article applies a simulation optimization technique to a DFA system and use the enhanced system to search an Asset-Liability Management (ALM) solution for a...