Asset and liability insurance management (ALIM) for risk eradication

Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J. M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean Pierre Aubin

Research outputpeer-review

Abstract

Unlike traditional valuation methods, viability theory provides tools for eradicating risk by determining the minimum initial capital required to meet the commitments of the investor, regardless of forecasted market developments. This capital can play the role of risk assessment within a framework of asset and liability management (ALM) of a guaranteed fund with the tools of viability theory. Using viability theory, this study offers a practical example of asset and liability insurance management (ALIM) of a radically different philosophy, eradicating risk as a function of any forecasting mechanism providing a prevision of the future risk returns, from chartist to the VIMADES Extrapolator presented in this chapter.

Original languageEnglish
Title of host publicationStatic and Dynamic Game Theory
Subtitle of host publicationFoundations and Applications
PublisherBirkhäuser Verlag AG
Pages319-335
Number of pages17
Edition9780817683870
DOIs
Publication statusPublished - 1 Jan 2013

Publication series

NameStatic and Dynamic Game Theory: Foundations and Applications
Number9780817683870
ISSN (Print)2363-8516
ISSN (Electronic)2363-8524

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Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

Cite this

Bernhard, P., Engwerda, J. C., Roorda, B., Schumacher, J. M., Kolokoltsov, V., Saint-Pierre, P., & Aubin, J. P. (2013). Asset and liability insurance management (ALIM) for risk eradication. In Static and Dynamic Game Theory: Foundations and Applications (9780817683870 ed., pp. 319-335). (Static and Dynamic Game Theory: Foundations and Applications; No. 9780817683870). Birkhäuser Verlag AG. https://doi.org/10.1007/978-0-8176-8388-7_18