Stochastic modeling of assets and liabilities with mortality risk
S Alvares Maffra, J Armstrong… - Scandinavian Actuarial …, 2021 - Taylor & Francis
This paper describes a general approach for the stochastic modeling of assets returns and
liability cash-flows of a typical pensions insurer. On the asset side, we model the investment …
liability cash-flows of a typical pensions insurer. On the asset side, we model the investment …
[PDF][PDF] Modelling default risk including idiosyncratic default risk in returns on corporate bond portfolios
H Liu - 2020 - kclpure.kcl.ac.uk
Returns on corporate bond portfolios are subject to both systematic and idiosyncratic default
risks. Koivu and Pennanen (2010) derived two-factor return models for corporate bonds …
risks. Koivu and Pennanen (2010) derived two-factor return models for corporate bonds …
[PDF][PDF] Robust Portfolio Optimization Under Conflicting Views: a Black-Litterman Model Approach
DL Ramos - 2017 - maxwell.vrac.puc-rio.br
Abstract Leao Ramos, Dimas; Michel Valladao, Davi (Advisor); Dodsworth Martins Froment
Fernandes, Betina (Co-Advisor). Robust Portfolio Optimization Under Conflicting Views: a …
Fernandes, Betina (Co-Advisor). Robust Portfolio Optimization Under Conflicting Views: a …