Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance

New regulations, stronger competitions and more volatile capital markets have increased the demand for stochastic asset-liability management (ALM) models for insurance companies in recent years. The numerical simulation of such models is usually performed by Monte Carlo methods which suffer from a slow and erratic convergence, though. As alternatives to Monte Carlo simulation, we propose and investigate in this article the use of deterministic...