Diehl, Maximilian; Horsky, Roman; Reetz, Susanne; Sass, … - In: European Actuarial Journal 13 (2022) 1, pp. 147-182
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...