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Erschienen in: European Actuarial Journal 1/2018

16.04.2018 | Original Research Paper

Asset-liability management for long-term insurance business

verfasst von: Hansjörg Albrecher, Daniel Bauer, Paul Embrechts, Damir Filipović, Pablo Koch-Medina, Ralf Korn, Stéphane Loisel, Antoon Pelsser, Frank Schiller, Hato Schmeiser, Joël Wagner

Erschienen in: European Actuarial Journal | Ausgabe 1/2018

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Abstract

This is a summary of the main topics and findings from the Swiss Risk and Insurance Forum 2017. That event gathered experts from academia, insurance industry, regulatory bodies, and consulting companies to discuss past and current developments as well as future perspectives in dealing with asset-liability management for long-term insurance business. Topics include valuation, innovations in insurance products, investment, and modelling aspects.

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Fußnoten
1
See Kupper et al. [26], Knispel et al. [22], Möhr [28], Tsanakas et al. [38], Pelsser and Stadje [32], Dhaene et al. [11], and Engsner et al. [17], among others.
 
2
For more information on LTG measures and transitionals, please refer to https://​eiopa.​europa.​eu/​GuidelinesSII/​EIOPA_​EN_​LTG_​GLs.​pdf and delegated act 2015/35, 2016/467, and 2016/2283 of the European Commission.
 
3
A few papers propose means of increasing transparency by including restrictions on the dynamic calculation of the risk margin. For instance, Engsner et al. [17] propose to replicate shortfalls from components B and C with cash only, so that the strategy replicating component A remains “static” in the framework.
 
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Metadaten
Titel
Asset-liability management for long-term insurance business
verfasst von
Hansjörg Albrecher
Daniel Bauer
Paul Embrechts
Damir Filipović
Pablo Koch-Medina
Ralf Korn
Stéphane Loisel
Antoon Pelsser
Frank Schiller
Hato Schmeiser
Joël Wagner
Publikationsdatum
16.04.2018
Verlag
Springer Berlin Heidelberg
Erschienen in
European Actuarial Journal / Ausgabe 1/2018
Print ISSN: 2190-9733
Elektronische ISSN: 2190-9741
DOI
https://doi.org/10.1007/s13385-018-0167-5

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