© 2011

Asset and Liability Management Handbook

  • Gautam Mitra
  • Katharina Schwaiger

Table of contents

  1. Front Matter
    Pages i-xxxv
  2. Introduction

    1. Gautam Mitra, Katharina Schwaiger
      Pages 1-12
  3. ALM Models Applied to Banks

    1. Front Matter
      Pages 13-13
    2. Sarp Kaya Acar, Ralf Korn, Kalina Natcheva-Acar, Jörg Wenzel
      Pages 62-76
  4. ALM Models Applied to Insurance Companies

    1. Front Matter
      Pages 77-77
    2. Michael Dempster, Elena Medova, Michael Villaverde
      Pages 79-109
    3. Xi Yang, Jacek Gondzio, Andreas Grothey
      Pages 110-138
  5. Alm Models Applied to Pension Funds

    1. Front Matter
      Pages 139-139
    2. Frank Sortino, David Hand
      Pages 141-149
    3. Con Keating
      Pages 150-180
    4. Siti Sheikh Hussin, Gautam Mitra, Diana Roman, Wan Kamaruzaman, Wan Ahmad
      Pages 181-207
    5. David Blake, Andrew Cairns, Kevin Dowd
      Pages 234-279
    6. John M. Mulvey, Woo Chang Kim, Yi Ma
      Pages 280-307
    7. Garud Iyengar, Alfred Ka, Chun Ma
      Pages 308-330
    8. Katharina Schwaiger, Cormac Lucas, Gautam Mitra
      Pages 331-351
  6. ALM Models Applied to Other Areas of Financial Planning

    1. Front Matter
      Pages 407-407

About this book


Recent years have shown an increase in development and acceptance of quantitative methods for asset and liability management strategies. This book presents state of the art quantitative decision models for three sectors: pension funds, insurance companies and banks, taking into account new regulations and the industries risks.


Investment management Pension Funds Portfolio risk management

Editors and affiliations

  • Gautam Mitra
    • 1
  • Katharina Schwaiger
    • 1
  1. 1.Brunel UniversityUK

About the editors

GAUTAM MITRA is Distinguished Professor and Director of CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, Brunel University, UK. He is internationally renowned for his research in the field of Operational Research, in particular computational optimisation and modelling.

KATHARINA SCHWAIGER is Knowledge Transfer Partnership post-Doc Associate at CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, Brunel University, UK.

Bibliographic information

Industry Sectors
Finance, Business & Banking


'Investors without liabilities don't need assets. This is the central message from this timely book that offers the best-in-class thinking from leading academics and practitioners in the field of Asset Liability Management. Anyone managing assets will need to read this book.' - Prof. Dr. Bernd Scherer, Professor of Finance, EDHEC Business School, London, UK

'The book provides an excellent overview on latest developments in quantitative methods for Asset Liability Management. The contributed articles particularly emphasize applicability aspects with traceable examples. It is a "must read" for everybody responsible for the solution of ALM modeling problems in the banking, insurance and pension fund industry.' - Prof. Dr. Karl Frauendorfer, Dean, School of Finance, University of St. Gallen, Switzerland

'This book is ideally timed. It collects together some of the best thinkers working in ALM currently, mixing leading edge academic work with practitioner insights. The focus by industry sector allows experts to enjoy comparing best practice in their own sectors with the frontiers of knowledge in allied disciplines. It also makes a valuable additional resource for trainee actuaries. For those less familiar with the subject, the format gives an appreciation of the range of innovation that ALM is driving across the financial sector.' - Nigel Masters, Immediate Past President, Institute and Faculty of Actuaries, UK