Research Group of Prof. Dr. M. Griebel
Institute for Numerical Simulation
maximize


@article{Gerstner.Griebel.Holtz.ea:2006,
  author = {T.~Gerstner and M.~Griebel and M.~Holtz and R.~Goschnick
		  and M.~Haep},
  title = {A General Asset-Liability Management Model for the
		  Efficient Simulation of Portfolios of Life Insurance
		  Policies},
  journal = {Insurance: Math. Economics},
  number = {2},
  volume = {42},
  pages = {704-716},
  year = {2008},
  annote = {article,ALM},
  abstract = {New regulations and a stronger competition have increased
		  the importance of stochastic asset-liability management
		  models for insurance companies in recent years. In this
		  paper, we propose a discrete time asset-liability
		  management model for the simulation of simplified balance
		  sheets of life insurance products. The model incorporates
		  the most important life insurance product characteristics,
		  the surrender of contracts, a reserve-dependent surplus
		  declaration, a dynamic asset allocation and a two-factor
		  stochastic capital market. All arising terms in the model
		  can be calculated recursively which allows an easy
		  implementation and efficient simulation. Furthermore, the
		  model is designed to have a modular organisation which
		  permits straightforward modifications and extensions to
		  handle specific requirements. In a sensitivity analysis for
		  example portfolios and parameters we investigate the impact
		  of the most important product and management parameters on
		  the risk exposure of the insurance company and show that
		  the model captures the main behaviour patterns of the
		  balance sheet development of life insurance products.},
  pdf = {http://wissrech.ins.uni-bonn.de/research/pub/gerstner/ALM_IME2006_v2.pdf 1}
}