دانشگاه علامه طباطبایی

  اخبار و اعلانات

 آمار

تعداد نشریات60
تعداد شماره‌ها2,022
تعداد مقالات16,253
تعداد مشاهده مقاله42,474,959
تعداد دریافت فایل اصل مقاله24,312,472
Hooshmand, Farnaz, Ghanbarzadeh, Mitra. (1403). Asset-liability management for with-profit life insurance policies: A novel multi-stage stochastic programming model. سامانه مدیریت نشریات علمی, (), 83-97. doi: 10.22054/jmmf.2024.80428.1139
Farnaz Hooshmand; Mitra Ghanbarzadeh. "Asset-liability management for with-profit life insurance policies: A novel multi-stage stochastic programming model". سامانه مدیریت نشریات علمی, , , 1403, 83-97. doi: 10.22054/jmmf.2024.80428.1139
Hooshmand, Farnaz, Ghanbarzadeh, Mitra. (1403). 'Asset-liability management for with-profit life insurance policies: A novel multi-stage stochastic programming model', سامانه مدیریت نشریات علمی, (), pp. 83-97. doi: 10.22054/jmmf.2024.80428.1139
Hooshmand, Farnaz, Ghanbarzadeh, Mitra. Asset-liability management for with-profit life insurance policies: A novel multi-stage stochastic programming model. سامانه مدیریت نشریات علمی, 1403; (): 83-97. doi: 10.22054/jmmf.2024.80428.1139

Asset-liability management for with-profit life insurance policies: A novel multi-stage stochastic programming model

Journal of Mathematics and Modeling in Finance
مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 28 آبان 1403    اصل مقاله (215.52 K)
نوع مقاله: Research Article
شناسه دیجیتال (DOI): 10.22054/jmmf.2024.80428.1139
نویسندگان
Farnaz Hooshmand* 1؛ Mitra Ghanbarzadeh2
1Department of Mathematics and Computer Science, Amirkabir University of Technology, Tehran, Iran
2Personal Insurance Research Department, Insurance Research Center, Tehran, Iran
چکیده
Asset-liability management (ALM) is a critical issue for insurance companies because the premiums received from policyholders should be invested according to regulatory frameworks while providing suitable profitability, and simultaneously, the insurer should fulfill its obligations to policyholders on time. Our focus is on participating (with-profit) life insurance policies, where policyholders not only receive a guaranteed profit but also participate in the return of the insurer's investment-portfolio. Due to the risks of death and surrender, uncertainty in asset returns, the broad range of insurance products and regulations, it is difficult to make optimal decisions. In this paper, we aim to present a new multi-stage stochastic programming ALM model for with-profit life insurance policies. Compared to existing models that involve some simplifications, our model incorporates more details and is closer to reality. Specifically, our model is multi-stage and updates the amount of policies investment reserves based on the realized return of the investment-portfolio. Evaluation of the model across a variety of datasets confirms the effectiveness of the proposed model.
کلیدواژه‌ها
Asset-liability management؛ participating (with-profit) life insurance policies؛ Multi-stage stochastic programming؛ Scenario؛ Value-of-stochastic-solution
مراجع
[1] M. Adelmann, L. Fernandez-Arjona, J. Mayer, and K. Schmedders, A large-scale optimization model for replicating portfolios in the life insurance industry, Operations Research,
69 (2021), 1015-1348.
[2] A. Bohnert, N. Gatzert, and P.L. Jørgensen, On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation
schemes, Insurance: Mathematics and Economics, 60 (2015), 83-97.
[3] X. Chen, Q. Liu, and D. A. Ralescu, A bi-level optimization model for the asset-liability
management of insurance companies, Journal of Industrial and Management Optimization,
19 (2023), 3003-3019.
[4] S. Dauland, and E. G. Vidal, Replication of insurance liabilities, RiskMetrics Journal, 9
(2009), 76-96.
[5] L. Devineau, and M. Chauvigny, Replicating portfolios: Calibration techniques for the
calculation of the Solvency II economic capital, Bulletin Fran¸cais d’Actuariat, 11 (2011),
59-97.
[6] G. Dutta, H. V. Rao, S. Basu, and M. K. Tiwari, Asset liability management model with
decision support system for life insurance companies: Computational results, Computers &
Industrial Engineering, 128 (2019), 985-998.
[7] J. L. Fernandez, A. M. Ferreiro-Ferreiro, J. A. Garc ´ ´ıa-Rodr´ıguez, and C. Vazquez ´ ,
GPU parallel implementation for asset-liability management in insurance companies, Journal
of Computational Science, 24 (2018), 232-254.
[8] M. D. Francesco, and R. Simonella, A stochastic asset liability management model for
life insurance companies, Financial Markets and Portfolio Management, 37 (2023), 61-94.
[9] T. Gerstner, M. Griebel, M. Holtz, R. Goschnick, and M. Haep, A general assetliability management model for the efficient simulation of portfolios of life insurance policies,
Insurance: Mathematics and Economics, 42 (2008), 704-716.
[10] N. Gulpnar, D. Pachamanova, and E. ¸Canakolu ¨ , A robust assetliability management
framework for investment products with guarantees, OR Spectrum, 38 (2016), 1007-1041.
[11] O. Gurin, Bond Portfolio Optimization at Life Insurance Companies: Duration Spread
Ratio Optimization vs. Mean-Variance Optimization, SSRN, (2024).
[12] H. C. Huang, and Y. T. Lee, Optimal asset allocation for a general portfolio of life insurance policies, Insurance: Mathematics and Economics, 46 (2010), 271-280.
[13] H. Markowitz, Portfolio selection, Journal of Finance, 46 (1952), 71-91.
[14] J. Natolski, and R. Werner, Mathematical analysis of different approaches for replicating
portfolios, European Actuarial Journal, 4 (2014), 411-435.
[15] J. G. Orreborn, Asset-Liability Management with in Life Insurance, Degree Projects in
Financial Mathematics (2017).
[16] H. V. Rao, and G. Dutta, and S. Basu, New asset liability management model with
decision support system for life insurance companies: interface design issues for database
and mathematical models, International Journal of Revenue Management, 10 (2018), 71-91.

آمار
تعداد مشاهده مقاله: 55
تعداد دریافت فایل اصل مقاله: 60


سامانه مدیریت نشریات علمی. قدرت گرفته از سیناوب
login