IDEAS home Printed from https://ideas.repec.org/a/taf/sactxx/v2020y2020i3p196-217.html
   My bibliography  Save this article

Cash flow techniques for asset liability management

Author

Listed:
  • Kim Aguirre Nolsøe
  • Dieter Degrijse
  • Sofie Ahm
  • Kristoffer Brix
  • Mads Storgaard
  • Jesper Strodl

Abstract

Motivated by Solvency II, requiring the incorporation of policyholder behavior and portfolio performance into the liability modeling of a life insurance company, we propose some new techniques to efficiently compute future values of the first-order reserve and the third order cash flow under varying economic scenarios.

Suggested Citation

  • Kim Aguirre Nolsøe & Dieter Degrijse & Sofie Ahm & Kristoffer Brix & Mads Storgaard & Jesper Strodl, 2020. "Cash flow techniques for asset liability management," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2020(3), pages 196-217, March.
    • Handle: RePEc:taf:sactxx:v:2020:y:2020:i:3:p:196-217
    DOI: 10.1080/03461238.2019.1657936
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/03461238.2019.1657936
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/03461238.2019.1657936?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lautier, Jackson P. & Pozdnyakov, Vladimir & Yan, Jun, 2023. "Pricing time-to-event contingent cash flows: A discrete-time survival analysis approach," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 53-71.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:sactxx:v:2020:y:2020:i:3:p:196-217. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/sact .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.