Essays about: "Asset and liability management"

Showing result 1 - 5 of 7 essays containing the words Asset and liability management.

  1. 1. ASSET-LIABILITY MANAGEMENT FROM THE PERSPECTIVE OF A PENSION FOUNDATION : SIMULATION AND EVALUATION OF INVESTMENT- AND PORTFOLIO SELECTION STRATEGIES

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik; Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Jean-Pierre Kayal; Martin Norberg; [2020]
    Keywords : Investment strategies; Portfolio Selection Strategies; Pension Foundation;

    Abstract : Asset Liability Management is a current topic where accountability of asset management is of high importance. This is a result of continuously increasing investments in the stock market globally. The globalisation exposes a big part of the different markets to the same types of risk. READ MORE

  2. 2. Asset and Liability Management: Optimization using Least-Squares Monte Carlo

    University essay from Lunds universitet/Matematisk statistik

    Author : Sanna Brandel; [2018]
    Keywords : Asset and liability management; Solvency capital requirement; least-squares Monte Carlo; nested Monte Carlo simulation; risk-adjusted net asset value; mean-variance optimization; Mathematics and Statistics;

    Abstract : This thesis aims to examine an efficient asset and liability management method under Solvency II regulations, and to find an optimization framework that takes complex interactions between assets and liabilities into account. The investigated approach consists of a least-squares Monte Carlo method, where least-squares regression is used to obtain a proxy function for future net asset values. READ MORE

  3. 3. Valuation Practices of IFRS 17

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Björn Widing; Jimmy Jansson; [2018]
    Keywords : IFRS 17; Valuation; Life insurance; Insurance contracts; Contractual service; IFRS 17; Värdering; Livförsäkring; Försäkringskontrakt; Avtalsmässig servicemarginal;

    Abstract : This research assesses the IFRS 17 Insurance Contracts standard from a mathematical and actuarial point of view. Specifically, a valuation model that complies with the standard is developed in order to investigate implications of the standard on financial statements of insurance companies. READ MORE

  4. 4. Asset-Liability Management with in Life Insurance

    University essay from KTH/Matematisk statistik

    Author : Jakob Gip Orreborn; [2017]
    Keywords : Asset-liability management; Participating life insurance policies; Bonus policy; Ssurrender;

    Abstract : In recent years, new regulations and stronger competition have further increased the importance of stochastic asset-liability management (ALM) models for life insurance firms. However, the often complex nature of life insurance contracts makes modeling to a challenging task, and insurance firms often struggle with models quickly becoming too complicated and inefficient. READ MORE

  5. 5. Profitability and Tax Avoidance

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Herman Olsson; Erik Skytting; [2017]
    Keywords : Tax Avoidance; Rent Extraction; Profitability; DuPont;

    Abstract : We ask whether tax savings generated by tax avoidance activities outweigh the associated agency costs. Using a decrease in tax avoidance following the adoption of IFRS, we find that tax aggressive firms' future operating profitability improved by 3.2 percent in our cross-country sample. READ MORE