| Asset and Liability Modeling for Participating Policies with Guarantees (2002) | |||||||||||||||||
Abstract | |||||||||||||||||
| We study the problem of asset and liability management of participating insurance policies with guarantees. We develop a scenario optimization model for integrative asset and liability management, analyze the tradeo#s in structuring such policies, and study alternative choices in funding them. The nonlinearly constrained optimization model can be linearized through closed form solutions of the dynamic equations. Thus large-scale problems are solved with standard methods. | |||||||||||||||||
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