Asset Liability Management has gradually become a critical routine in the risk management department for financial institutions. This paper tries to capture the tremendous development in ALM study with a rough overview ALM techniques and modeling. Focusing on the stochastic control theory, this paper conducts an empirical analysis on an innovative approach initially brought up by Pelsser and Laeven(2011) to find the optimal investment and dividend policy for insurance companies taking unhedgeable risk into consideration. The pricing of unhedgeable insurance risk is also verified by a sensitivity analysis on the model.

Netspar, Network for Studies on Pensions, Aging and Retirement, is een denktank en kennisnetwerk. Netspar is gericht op een goed geïnformeerd pensioendebat.

MEER OVER NETSPAR


Missie en strategie           •           Netwerk           •           Organisatie           •          Podcasts
Board Brief            •            Werkprogramma 2019-2023           •           Onderzoeksagenda

OVER NETSPAR

Onze partners

B20180327_logo_PGB-Pensioendiensten_grijswaarden
B20160708_aegon
B20160708_maastricht university
B20160708_B20160615_Stichting-van-de-Arbeid-logo
B20160708_radboud
Bekijk al onze partners