Abstract
In this paper we have developed a financial model of the non-life insurer to provide assistance for the management of the insurance company in making decisions on product, investment and reinsurance mix. The model is based on portfolio theory and recognizes the stochastic nature of and the interaction between the underwriting and investment income of the insurance business. In the context of an empirical application we illustrate how a portfolio optimisation approach can be used for asset-liability management.
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Dus, I., Maurer, R. (2003). Integrated Asset Liability Modelling for Property Casualty Insurance: A Portfolio Theoretical Approach. In: Leser, H., Rudolf, M. (eds) Handbuch Institutionelles Asset Management. Gabler Verlag, Wiesbaden. https://doi.org/10.1007/978-3-663-01551-2_21
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DOI: https://doi.org/10.1007/978-3-663-01551-2_21
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