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Liability-driven investments of life insurers under investment credit risk
Abstract
In this paper, we present a model of liability-driven investments for life insurers by assuming that equity portfolios can be wiped out by catastrophic default risk of the firms whose stock the life insurer holds. A model of trinomial defaultable asset trees is used and it is calibrated to market data, while a stochastic programming model is set up to solve for the optimal asset allocation strategy of the life insurer to ensure maximization of...
Paper Details
Title
Liability-driven investments of life insurers under investment credit risk
Published Date
Aug 31, 2019
Journal
Volume
22
Issue
2
Pages
83 - 107
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