Discounted Downside Risk: The Time Dimension of Asset-Liability Management

被引：0
|
作者：
Van Der Meer R. [1 ]
Smink M. [2 ]
机构：
[1] Management Committee, Fortis Insurance Group, University of Groningen
[2] Erasmus University, National Science Organization (NWO)
来源：
The Geneva Papers on Risk and Insurance - Issues and Practice | 1999年 / 24卷 / 2期
关键词：
D O I：
10.1111/1468-0440.00014
中图分类号：
学科分类号：
摘要：
[No abstract available]
引用
收藏
页码：182 / 188
页数：6
相关论文
共 50 条
  • [1] Time inconsistent asset-liability management with partial information
    Wang, Guangchen
    Wang, Tianxiao
    [J]. SYSTEMS & CONTROL LETTERS, 2020, 140 (140)
  • [2] Dynamic asset-liability management with frictions
    Yan, Tingjin
    Han, Jinhui
    Ma, Guiyuan
    Siu, Chi Chung
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2023, 111 : 57 - 83
  • [3] Asset-Liability Management in Private Wealth Management
    Amenc, Noel
    Martellini, Lionel
    Milhau, Vincent
    Ziemann, Volker
    [J]. JOURNAL OF PORTFOLIO MANAGEMENT, 2009, 36 (01): : 100 - 120
  • [4] Optimal risk sharing in insurance networks An application to asset-liability management
    Hamm, Anna-Maria
    Knispel, Thomas
    Weber, Stefan
    [J]. EUROPEAN ACTUARIAL JOURNAL, 2020, 10 (01) : 203 - 234
  • [5] Mean-variance asset-liability management with asset correlation risk and insurance liabilities
    Chin, Mei Choi
    Wong, Hoi Ying
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2014, 59 : 300 - 310
  • [6] Dynamic stochastic programming for asset-liability management
    Consigli, G
    Dempster, MAH
    [J]. ANNALS OF OPERATIONS RESEARCH, 1998, 81 : 131 - 161
  • [7] A path integral approach to asset-liability management
    Decamps, M
    De Schepper, A
    Goovaerts, M
    [J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2006, 363 (02) : 404 - 416
  • [8] Risk assessment for synthetic GICs: a quantitative framework for asset-liability management
    Alimoradian, Behzad
    Jakubiak, Jeffrey
    Loisel, Stephane
    Salhi, Yahia
    [J]. DECISIONS IN ECONOMICS AND FINANCE, 2024,
  • [9] Asset-liability management under time-varying investment opportunities
    Ferstl, Robert
    Weissensteiner, Alex
    [J]. JOURNAL OF BANKING & FINANCE, 2011, 35 (01) : 182 - 192
  • [10] Risk analysis in asset-liability management using scenario generation.
    Manuela, BP
    Inmaculada, DF
    Pierre, D
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2003, 32 (01): : 169 - 169
12345