The risk of a future payoff is commonly quantified by calculating the costs of a hedging portfolio such that the resulting position is acceptable, i.e. that it passes a capital adequacy test. A multi-asset risk measure describes the minimal external capital which has to be raised into multiple...

In this paper we devise a general, stochastic asset-liability management model for life insurance companies, based on the work of Gerstner et al. (2008). While the basic concept and structure are similar, we expand their model and specify several aspects in greater detail. One of the main...

Continuous-time regime-switching models are a very popular class of models for financial applications. In this work the so-called signal-to-noise matrix is introduced for hidden Markov models where the switching is driven by an unobservable Markov chain. Its relations to filtering, i.e. state...

In this paper, we devise a stochastic asset–liability management (ALM) model for a life insurance company and analyze its influence on the balance sheet within a low-interest rate environment. In particular, a flexible procedure for the generation of insurers' compressed contract portfolios...

In this paper we investigate a utility maximization problem with drift uncertainty in a multivariate continuous-time Black–Scholes type financial market which may be incomplete. We impose a constraint on the admissible strategies that prevents a pure bond investment and we include uncertainty...