Actuarial Notes

Handbook of Asset and Liability Management, Volume 2: Applications and Case Studies

By Stavros A. Zenios and William T. Ziemba · Elsevier · 2007

Study guide: Exam CP-351

Volume 2 of the Handbooks in Finance's Handbook of Asset and Liability Management, edited by Stavros A. Zenios and William T. Ziemba and published in 2007. It portrays asset and liability management (ALM) in practice, in contrast to Volume 1, which addresses the theories and methodologies behind the models. In original articles, practitioners and scholars describe and analyze models used in banking, insurance, money management, individual investor financial planning, pension funds and social security.

On the syllabus

  • Exam CP-351 — Chapter 13, Stochastic Programming Models for Strategic and Tactical Asset Allocation - A Study from Norwegian Life Insurance, and Chapter 18, A Scenario Approach to ALM; outcome 3b.

Preface

A Banking

11 ALM in banking

  • Jean Dermine

B Insurance

12 Dynamic financial analysis for multinational insurance companies

  • John M. Mulvey, Bill Pauling, Steven Britt, and François Morin

13 Stochastic Programming Models for Strategic and Tactical Asset Allocation - a study from Norwegian life insurance

  • Kjetil Høyland and Stein W. Wallace

14 Designing and management of unit-linked life insurance contracts with guarantees

  • Ronald Hochreiter, Georg Pflug and Volkert Paulsen

15 The PROMETEIA Model for Managing Insurance Policies with Guarantees

  • Andrea Consiglio, Flavio Cocco and Stavros A Zenios

C Money Management

16 Integrated risk control using stochastic programming ALM models for money management

  • Chanaka Edirisinghe

D Individual Investor Financial Planning

17 Asset-Liability Management for Individual Investors

  • Giorgio Consigli

E Pension Funds

18 A Scenario approach of ALM

  • Guus Boender, Cees Dert, Fred Heemskerk & Henk Hoek

19 The Russell Yasuda, InnoALM and related models for pensions, insurance companies and high net worth individuals

  • William T Ziemba

20 Dynamic Asset & Liability Management for Swiss Pension Funds

  • Gabriel Dondi, Florian Herzog, Lorenz Schuman and Hans P. Geering

21 Joined-Up Pensions Policy in the UK: An Asset-Liability Model for Simultaneously Determining the Asset Allocation and Contribution Rate

  • John Board and Charles Sutcliffe

F Social Security

22 ALM issues in social security

  • Sandra L. Schwartz and William T. Ziemba

Sources