Cash Flow Matching

DOI10.1080/10920277.2009.10597562zbMath1483.91260OpenAlexW2303700061MaRDI QIDQ5029076

Alfred Ka Chun Ma, Garud Iyengar

Publication date: 11 February 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2009.10597562

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Optimal stochastic control (93E20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (3)

Cash Flow Risk Management in the Property/Liability Insurance Industry: A Dynamic Factor Modeling Approach ⋮ Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk ⋮ Market-Consistent Valuation and Funding of Cash Balance Pensions

Uses Software

• Mosek

Cites Work

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• Pricing Interest-Rate-Derivative Securities
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• Application of Coherent Risk Measures to Capital Requirements in Insurance

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