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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
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