Asset Liability Management in Insurance Companies and Banks: Quantitative Models

The Book presents a survey on the principal quantitative models on Asset Liability Management in Insurance Companies and Banks. It goes through the duration and the market value approach till the stochastic optimization. The model by using a contingent claim approach determines the fair value of the insurance life policies. Furthermore it shows that the value of equity can be immunized with respect to the movevement of interest rate. Moreover the model determines the fair value of the banks liabilities accounting for the protection and the surrender possibility. Furthermore it determines the implied duration of banks liabilities so to show that the surrender possibility will reduce the effective duration of banks liabilities. Implications for the immunization are also treated. In recent years is born the stochastic optimization by combining the asset allocation with the liabilities side by maximizing the surplus with some constraint. An analysis of interest rate models are also treated.