Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/76895 
Year of Publication: 
2001
Series/Report no.: 
Working Paper Series: Finance & Accounting No. 83
Publisher: 
Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften, Frankfurt a. M.
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 howa portfolio optimisation approach can be used for asset-liability management.
Subjects: 
Asset Liability Management
Insurance
Portfolio Optimization
JEL: 
C10
G12
G31
G33
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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