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While assetliability management AL M has been applied widely by insurers for 15 years, it has had mixed results. This article describes how initial efforts were unsuccessful, due to the focus on accounting values rather than economic values. The author asserts that insurers must rectify this...
This article presents a model for the fair valuation of a large class of insurance and pension liabilities. Life insurance companies and pension funds often issue policiescontracts with embedded options such as minimum return guarantees and bonus and surrender options. Until recently, most...
Tails probabilities are of paramount importance in shaping the risk profile of portfolios with credit risk sensitive securities. In this context, risk management tools require simulations that accurately capture the tails, and optimization models that limit tail effects. Ignoring tail events in...
This article discusses factor models for portfolio credit. In these models, correlations between individual defaults are driven by a few systematic factors. By conditioning on these factors, defaults observed within are independent. This allows a greater degree of analytical tractability in the...
This article studies formal optimal decision approaches for a multiperiod assetliability management model for a pension fund. The authors use Conditional ValueatRisk CVaR as a risk measure, the weighted average of the ValueatRisk VaR and those losses exceeding VaR. The model is based on...
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