<p style='text-indent:20px;'>In this paper, we study the robust optimal asset- problems for an ambiguity-averse investor, who does not have perfect information in drift terms of risky asset and liability processes. Two different kinds objectives are considered: <inline-formula><tex-math id="M1">\begin{document}$ (i) $\end{document}</tex-math></inline-formula> Maxim...

We present the first step in a program to develop a comprehensive, unified equilibrium theory of asset and liability pricing. We give a mathematical framework for pricing insurance products in a multiperiod financial market. This framework reflects classical economic principles (like utility maximization) and generates pricing algorithms for non-hedgeable insurance risks.

This paper presents a universal framework for pricing financial and insurance risks. Examples are given for pricing contingent payoffs, where the underlying asset or liability can be either traded or not traded. The paper also outlines an application of the framework to prescribe capital allocations within insurance companies, and to determine fair value for insurance liabilities.

This study aims to evaluate the asset and liability management system of commercial banks given large size Jordan's bank compared other economic sectors unrest in MENA region. The investigated influence ALM framework structure at Jordanian through a questionnaire. According this research, all adopted approach; however, Asset Liability Committee ALCO had minimal authority over determining establ...

This paper presents a universal framework for pricing financial and insurance risks. Examples are given for pricing contingent payoffs, where the underlying asset or liability can be either traded or not traded. The paper also outlines an application of the framework to prescribe capital allocations within insurance companies, and to determine fair values of insurance liabilities. 1 SCOR Reinsu...

We propose a model to select the optimal portfolio which underlies insurance policies with guarantee. The objective function is defined in order to minimize the conditional VaR of the distribution of the losses respect to a target return. We add operational and regulatory constraints to make the model as flexible as possible when used for real applications. We show that the integration of the a...

We develop a scenario optimization model for asset and liability management of individual investors. The individual has a given level of initial wealth and a target goal to be reached within some time University of Palermo,IT. [email protected] Prometeia, Bologna, IT. [email protected] University of Cyprus, Nicosia, CY, and The Financial Institutions Center, The Wharton School, Philadelphia...

Financial decision making involves uncertainty and consequently risk. It is well known that asset return forecasts and risk estimates are inherently inaccurate. The inaccuracy in forecasting and estimation can be addressed through the specification of rival scenarios. In this paper, we extend the multi-period mean-variance portfolio optimization and asset liability management problems to the ro...

This paper examines the bilateral, source and host factors driving portfolio equity investment across a set of countries using International Monetary Fund’s new dataset on international equity holdings at the end of 1997, 2001 and 2002. The paper finds that the bilateral equity investment is strongly correlated with the underlying patterns of trade in goods and services. The information asymmet...