Replicating portfolios have recently emerged as an important tool in the life insurance industry, used for the … valuation of companies' liabilities. This paper presents a replicating portfolio (RP) model for approximating life insurance … liabilities as closely as possible. We minimize the L1 error between the discounted life insurance liability cash flows and the …

This is a summary of the main topics and findings from the Swiss Risk and Insurance Forum 2017. That event gathered … experts from academia, insurance industry, regulatory bodies, and consulting companies to discuss past and current … developments as well as future perspectives in dealing with asset-liability management for long-term insurance business. Topics …

influences the equity position and investment strategy of a shareholder-value-maximising insurance company. Intuitively, a higher …