Skip to Main Content
R Programming for Actuarial Science
book

R Programming for Actuarial Science

by Peter McQuire, Alfred Kume
October 2023
Intermediate to advanced content levelIntermediate to advanced
640 pages
16h 23m
English
Wiley
Content preview from R Programming for Actuarial Science

10 Asset-Liability Matching: An Introduction

Peter McQuire

10.1 Introduction

The objective of this chapter is to illustrate, using as simple a model as possible, the effect various investments strategies may have on the solvency positions of annuity providers, insurance companies and pension schemes.

In particular, we will concern ourselves with analysing the stability, or predictability, of the entity’s solvency position. To do this we will calculate the variance of the solvency position at a future point in time. To be clear, the solvency, or funding, position is defined here as follows:

(10.1) upper S o l v e n c y equals upper A minus upper L

where upper A is the market value of our assets and upper L is the expected present discounted value of the future contractual payments, e.g. pensions (often referred to as “Technical Provisions” or simply the “liabilities”). Thus we will be interested in measuring, and minimising, the variance of left-parenthesis upper A minus upper L right-parenthesis. Note that we will not concern ourselves with any technical discussions regarding different types of solvency measures, such as those required by regulators, shareholders or internal management; ...

Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Start your free trial

You might also like

Computational Actuarial Science with R

Computational Actuarial Science with R

Arthur Charpentier

Publisher Resources

ISBN: 9781119754978Purchase Link