The constant proportion portfolio insurance is analyzed by assuming that the risky asset price follows a regime …

We present a model for P/L insurance companies based on Asset-Liability-Management (ALM). We show analytically for …

requirements, focused on banks as well as insurance sector, have been developed. These regulatory are concentrated essentially on … insurance industry. These requirements have influenced the asset allocation issue in insurance industry. This section is …

insurance companies managing life insurance with-profit savings. Firstly, we analyzed the contribution of Fong and Vasicek (1984 …

In this article, a model of optimal insurance pricing and investment strategies is established. The insurance price … following multi-Vasicek model with time-varying correlation are discussed in the investment portfolio. Demand of insurance … and t is equal to or greater than zero. Dynamical optimal price of an insurance contract and the optimal investment …

Dynamic hybrid products emerged in 2007 and are now well established in the German life insurance market. In this … sold by the same insurance company. The key question we investigate is whether the presence of dynamic hybrid products has … a negative effect on the payout of traditional insurance products. We do so by using data drawn from a Monte Carlo …