Combining a Matheuristic with Simulation for Risk Management of Stochastic Assets and Liabilities

Combining a Matheuristic with Simulation for Risk Management of Stochastic Assets and Liabilities

Specially in the case of scenarios under uncertainty, the efficient management of risk when matching assets and liabilities is a relevant issue for most insurance companies. This paper considers such a scenario, where different assets can be aggregated to better match a liability (or the other way a...

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Bibliographic Details
Main Authors: Christopher Bayliss, Marti Serra, Armando Nieto, Angel A. Juan
Format: Article
Language:English
Published: MDPI AG 2020-12-01
Series:Risks
Subjects:
assets and liabilities management
risk management
uncertainty
matheuristics
simulation
Online Access:https://www.mdpi.com/2227-9091/8/4/131

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