Description: This paper provides a novel approach to the valuation of the market value of economic surplus that is stable and immune from “market noise”.

Description: Discussion of the US Social security system from the perspective of Asset Liability management theory. From Asset-Liability Integration, M-FI02-1.

Description: This monograph strives to define a mission for the modern insurance industry, its place in the financial intermediation network, and the role of Asset/Liability Management in that mission from the perspective of what is known about capital markets and practiced in financial engineering.

Description: This paper is to some extent a sequel to my previous paper A Bond Manager's Method for ALM published in Actuarial Research Clearing House Volume 1993.3. It borrows from that paper the concept of benchmark weights for measuring the sensitivity of the present value of a set of cash flows to changes in interest rates. However, a completely different approach to calculating benchmark weights is presented.

Description: This paper addresses the stochastic modeling for managing asset liability process. We start with developing a jump-diffusion process for evaluating of the liabilities of the insurance company in general. We then formulate the ALM process into a stochastic control problem. With this approach, we present a Bel|man-Dreyfus Fundamental type formula for ALM process in terms of the solution of a system of algebraic equations and partial differential equations.

Description: This paper looks at the problem of valuing and managing the ALM risks associated with insurance liabilities that are too long to be matched by available investments. Two options were explored and the paper concludes by arguing that the Static Control Model leads to more useful ALM strategies for long liabilities.