Interaction between asset liability management and risk theory
نویسندگان
چکیده
منابع مشابه
Interaction between Asset Liability Management and Risk Theory : an Unsegmented and a Multidimensional Study
In this paper, we propose measures of the risk that the value of the liabilities becomes larger than the value of the assets, and this especially for insurance companies. We study probabilities of mismatching and a degree of mismatching in unsegmented and multidimensional models of the balance, in which we stress the influence of interest rates on the active and passive side of the balance. The...
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ژورنال
عنوان ژورنال: Applied Stochastic Models and Data Analysis
سال: 1998
ISSN: 8755-0024,1099-0747
DOI: 10.1002/(sici)1099-0747(199812)14:4<295::aid-asm359>3.0.co;2-9