Domínguez, Inmaculada; Bosch, Manuela; Devolder, Pierre - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2003
The management of a life insurance portfolio or pension fund must take intoaccount the temporal evolution of its liabilities and its assets through some variables:the factors and returns. Their behaviour is analysed statistically and we deduce it to avector error correction model (VECM). Using...