Cash flow techniques for asset liability management

DOI10.1080/03461238.2019.1657936zbMath1436.91099OpenAlexW2970552345WikidataQ127304622 ScholiaQ127304622MaRDI QIDQ4959770

Mads Storgaard, Kristoffer Brix, Jesper Strodl, Kim Aguirre Nolsøe, Dieter Degrijse, Sofie Ahm

Publication date: 7 April 2020

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2019.1657936

zbMATH Keywords

life insurancecash flowliability modeling

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items (2)

Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model ⋮ Pricing time-to-event contingent cash flows: a discrete-time survival analysis approach

Cites Work

• Probability with Martingales
• Reserves in Life and Pension Insurance
• Cash flows and policyholder behaviour in the semi-Markov life insurance setup
• An Introduction to Markov Processes
• Unnamed Item

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