A stochastic Asset Liability Management model for life insurance companies
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DOI: 10.1007/s11408-022-00411-0
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More about this item
Keywords
Asset Liability Management (ALM); Life insurance; Surrender and new production models; Least squares Monte Carlo technique; Nonlinearly constrained optimization problem;All these keywords.
JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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