Article ID: | iaor2000242 |
Country: | United States |
Volume: | 14 |
Issue: | 4 |
Start Page Number: | 295 |
End Page Number: | 307 |
Publication Date: | Dec 1998 |
Journal: | Applied Stochastic Models and Data Analysis |
Authors: | Deelstra G., Janssen J. |
Keywords: | insurance, asset liability management |
In order to apply the asset liability management (ALM) model of Janssen to insurance companies, we study an extension of the model in which the asset fund A takes into account fixed-income securities. Therefore, we model the rates of return of the portfolio by a Vasicek process. The liability process B is defined by a geometric Brownian motion with drift which may be correlated with the asset process. In this generalized Janssen model we concentrate on the relations between the asset process A and the liability process B in order to point out some management principles. More exactly, we study the probability that the assets and liabilities of a company have no good matching and we propose some indicators of the mismatching. Therefore, we look at the process