DYNAMICAL SYSTEM MODELING IN ASSET AND LIABILITY MANAGEMENT
Insurance companies must ensure a balance between the profits generated from their investment and the liabilities they owe to policyholders. This is widely known as asset and liability management (ALM). One important element of ALM involves forecasting the long-term financial status of the compan...
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| Main Author: | |
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/81576 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Insurance companies must ensure a balance between the profits generated from their
investment and the liabilities they owe to policyholders. This is widely known as asset
and liability management (ALM). One important element of ALM involves forecasting
the long-term financial status of the company. Therefore, a discrete time dynamical
system is developed to illustrate the fluctuations in the financial components of an
insurance company. Subsequently, simulations are conducted based on the constructed
model for cases both with and without mortality. The model takes into account varying
premium amounts and durations, a stochastic capital market, a dynamic management
strategy, as well as mechanisms for establishing reserves. The financial components
arising in the model are calculated recursively, allowing for easier and more efficient
simulations. |
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