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Asset-Liability Management for Long-Term Insurance Business

Swiss Finance Institute Research Paper No. 17-69

18 Pages Posted: 21 Dec 2017 Last revised: 9 Jan 2018

See all articles by Hansjoerg Albrecher

Hansjoerg Albrecher

University of Lausanne; Swiss Finance Institute

Daniel Bauer

University of Wisconsin-Madison

Paul Embrechts

Swiss Federal Institute of Technology Zurich; Swiss Finance Institute

Damir Filipović

École Polytechnique Fédérale de Lausanne (EPFL); Swiss Finance Institute

Pablo Koch-Medina

University of Zurich - Department Finance; Swiss Finance Institute

Ralf Korn

University of Kaiserslautern - Department of Mathematics

Stéphane Loisel

University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA)

Antoon Pelsser

Maastricht University; Netspar

Frank Schiller

MunichRe

Hato Schmeiser

University of Münster - Faculty of Economics; University of St. Gallen - I.VW-HSG

Joël Wagner

University of Lausanne - Department of Actuarial Science (HEC Lausanne); Swiss Finance Institute

Date Written: December 18, 2017

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.

Keywords: asset-liability management, long-term insurance, valuation, insurance products, investments, models

JEL Classification: G22, G11

Suggested Citation: Suggested Citation

Albrecher, Hansjoerg and Bauer, Daniel and Embrechts, Paul and Filipovic, Damir and Koch-Medina, Pablo and Korn, Ralf and Loisel, Stéphane and Pelsser, Antoon A. J. and Schiller, Frank and Schmeiser, Hato and Wagner, Joël, Asset-Liability Management for Long-Term Insurance Business (December 18, 2017). Swiss Finance Institute Research Paper No. 17-69, Available at SSRN: https://ssrn.com/abstract=3089627 or http://dx.doi.org/10.2139/ssrn.3089627

Hansjoerg Albrecher

University of Lausanne ( email )

Quartier Chambronne
Lausanne, Vaud CH-1015
Switzerland

Swiss Finance Institute

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Daniel Bauer

University of Wisconsin-Madison ( email )

975 University Avenue
Madison, WI 53706
United States

Paul Embrechts

Swiss Federal Institute of Technology Zurich ( email )

ETH-Zentrum
CH-8092 Zurich
Switzerland

Swiss Finance Institute

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Damir Filipovic (Contact Author)

École Polytechnique Fédérale de Lausanne (EPFL) ( email )

Odyssea
Station 5
Lausanne, 1015
Switzerland

HOME PAGE: http://people.epfl.ch/damir.filipovic

Swiss Finance Institute

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Pablo Koch-Medina

University of Zurich - Department Finance ( email )

Plattenstrasse 14
Zürich, 8032
Switzerland

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Ralf Korn

University of Kaiserslautern - Department of Mathematics ( email )

D-67653 Kaiserslautern
Germany

Stéphane Loisel

University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA) ( email )

50, Avenue Tony Garnier
Lyon Cedex 07, 69366
France

Antoon A. J. Pelsser

Maastricht University ( email )

P.O. Box 616
Maastricht, 6200 MD
Netherlands

HOME PAGE: http://https://sites.google.com/site/apelsseraca/

Netspar ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands

Frank Schiller

MunichRe ( email )

Königinstr. 107
Munich, 80802
Germany

Hato Schmeiser

University of Münster - Faculty of Economics ( email )

Universitätsstr. 14-16
48143 Munster
Germany

University of St. Gallen - I.VW-HSG ( email )

Kirchlistrasse 2
St. Gallen, 9010
Switzerland

Joël Wagner

University of Lausanne - Department of Actuarial Science (HEC Lausanne) ( email )

Unil-Chamberonne - Extranef
Lausanne, 1015
Switzerland

HOME PAGE: http://people.unil.ch/joelwagner

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

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