Arbeitspapier

Integrated asset liability modelling for property casuality insurance: A portfolio theoretical approach

to connected objects

In this paper we have developed a financial model of the non-life insurer to provide assistance for the management of the insurance company in making decisions on product, investment and reinsurance mix. The model is based on portfolio theory and recognizes the stochastic nature of and the interaction between the underwriting and investment income of the insurance business. In the context of an empirical application we illustrate howa portfolio optimisation approach can be used for asset-liability management.

Language
Englisch

Bibliographic citation
Series: Working Paper Series: Finance & Accounting ; No. 83

Classification
Wirtschaft
Econometric and Statistical Methods and Methodology: General
Asset Pricing; Trading Volume; Bond Interest Rates
Capital Budgeting; Fixed Investment and Inventory Studies; Capacity
Bankruptcy; Liquidation
Subject
Asset Liability Management
Insurance
Portfolio Optimization
Schadenversicherung
Portfolio-Management
Bilanzstrukturmanagement
Theorie

Event
Geistige Schöpfung
(who)
Dus, Ivica
Maurer, Raimond
Event
Veröffentlichung
(who)
Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften
(where)
Frankfurt a. M.
(when)
2001

Handle
URN
urn:nbn:de:hebis:30-18383
Last update
10.03.2025, 11:42 AM CET

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Object type

  • Arbeitspapier

Associated

  • Dus, Ivica
  • Maurer, Raimond
  • Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften

Time of origin

  • 2001

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