Journal of Risk Finance: Volume 3 Issue 1

Asset/Liability Management for Insurers in the New Era: Focus on Value

DAVID F. BABBEL

While asset/liability management (A/L M) has been applied widely by insurers for 15 years, it has had mixed results. This article describes how initial efforts were unsuccessful…

Life Insurance Contracts with Embedded Options: Valuation, Risk Management, and Regulation

PETER LØCHTE JØRGENSEN

This article presents a model for the fair valuation of a large class of insurance and pension liabilities. Life insurance companies and pension funds often issue…

The Tail that Wags the Dog: Integrating Credit Risk in Asset Portfolios

NORBERT J. JOBST, STAVROS A. ZENIOS

Tails probabilities are of paramount importance in shaping the risk profile of portfolios with credit risk sensitive securities. In this context, risk management tools require…

Factor Models: Portfolio Credit Risks When Defaults are Correlated

PHILIPP J. SCHÖNBUCHER

This article discusses factor models for portfolio credit. In these models, correlations between individual defaults are driven by a few systematic factors. By conditioning on…

Asset/Liability Management for Pension Funds Using CVaR Constraints

ERIK BOGENTOFT, H. EDWIN ROMEIJN, STANISLAV URYASEV

This article studies formal optimal decision approaches for a multi‐period asset/liability management model for a pension fund. The authors use Conditional Value‐at‐Risk (CVaR) as…