The impact of illiquidity on the asset management of insurance companies

DOI10.1016/j.insmatheco.2007.09.005zbMath1140.91416OpenAlexW2047237797MaRDI QIDQ938026

Thomas R. Berry-Stölzle

Publication date: 18 August 2008

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.09.005

zbMATH Keywords

asset liability managementliquidityoptimal liquidationportfolio diversificationcash-flow matching

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

Dynamic asset-liability management with frictions

Cites Work

• Dynamic trading policies with price impact
• Predicting Equity Liquidity
• Optimal Liquidity Trading*
• Continuous Auctions and Insider Trading
• Price Manipulation and Quasi-Arbitrage
• A Simplex Method for Function Minimization