Asset-liability management for long-term insurance business

Hansjoerg Albrecher (1) , Daniel Bauer , Paul Embrechts , Damir Filipovic (2) , Pablo Koch-Médina , Ralf Korn (3) , Stéphane Loisel (4) , Antoon Pelsser , Franck Schiller , Hato Schmeiser , Joël Wagner

1 UNIL - Université de Lausanne = University of Lausanne
2 EPFL - Ecole Polytechnique Fédérale de Lausanne
3 Fraunhofer ITWM - Fraunhofer Institute of Industrial Mathematics
4 SAF - Laboratoire de Sciences Actuarielle et Financière

Domaines: Economies et finances; Probabilités [math.PR]; Gestion des risques [q-fin.RM]

Hansjoerg Albrecher, Daniel Bauer, Paul Embrechts, Damir Filipovic, Pablo Koch-Médina, et al.. Asset-liability management for long-term insurance business. European Actuarial Journal, 2018, 8 (1), pp.9-25. ⟨hal-01995785⟩