A discrete-time model for the optimal management of an insurance asset portfolio

In a discrete time framework, this paper focus on one of the most common life insurance products -a typical guaranteed investment contract, by which the holder has the right to receive after T years a return that cannot be lower than a minimum predefined rate. The problem of the fund manager is to invest the initial wealth and the contribution flow into the financial market. The rules are considered that usually are imposed to insurance companies in the management of this funds as reserves and solvency margin. A model for the optimal asset-liability management for insurance companies is developed by applying stochastic optimization.