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  • Asset-Liability Integration, Chapter 3: Why Did ALM Become Important?
    closely re- lated to the C-3 risk. The Golden Age of U.S. insurers, the 1950s and 1960s, was characterized ... and Polkinghorn 1992). In 1982, total annuity reserves of U.S. life companies exceeded life insurance ...

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    • Authors: Krzysztof Ostaszewski
    • Date: Jan 2003
    • Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
    • Topics: Finance & Investments>Asset liability management
  • Asset-Liability Integration, Chapter 2: Defining Asset-Liability Management
    cash value surrender, single premium deferred annuity tax- free exchange, and guarantees of interest ... enterprise S(i) equals A(i) L(i). If we apply the reasoning presented above to the function S(i), then ...

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    • Authors: Krzysztof Ostaszewski
    • Date: Jan 2003
    • Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
    • Topics: Finance & Investments>Asset liability management
  • Asset-Liability Integration, Chapter 1: What Are Financial Intermediaries Paid For?
    market circumstances. Sim- ilarly, if a deferred annuity provides for the credited rate to follow an interest ... solves the fol- lowing optimization problem max E(u(g (X) e ))i i gi(X ) subject to: I. What are ...

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    • Authors: Krzysztof Ostaszewski
    • Date: Jan 2003
    • Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
    • Topics: Finance & Investments>Asset liability management