Handbook of Asset and Liability Management, Volume 2: Applications and Case Studies (Handbook of Asset and Liability Management) (Handbook of Asset and Liability Management) PDF
Preview Handbook of Asset and Liability Management, Volume 2: Applications and Case Studies (Handbook of Asset and Liability Management) (Handbook of Asset and Liability Management)
HANDBOOK OF ASSET AND LIABILITY MANAGEMENT VOLUME 2: APPLICATIONS AND CASE STUDIES HANDBOOKS IN FINANCE Series Editor WILLIAM T. ZIEMBA Advisory Editors KENNETH J. ARROW GEORGE C. CONSTANTINIDES HARRY M. MARKOWITZ ROBERT C. MERTON STEWART C. MYERS PAUL A. SAMUELSON WILLIAM F. SHARPE Amsterdam • Boston • Heidelberg • London • New York • Oxford Paris • San Diego • San Francisco • Singapore • Sydney • Tokyo North-Holland is an imprint of Elsevier HANDBOOK OF ASSET AND LIABILITY MANAGEMENT VOLUME 2: APPLICATIONS AND CASE STUDIES Edited by S.A. ZENIOS University of Cyprus, Nicosia, Cyprus and The Wharton Financial Institutions Center, Philadelphia, PA, USA W.T. ZIEMBA University of British Columbia, Vancouver, Canada Amsterdam • Boston • Heidelberg • London • New York • Oxford Paris • San Diego • San Francisco • Singapore • Sydney • Tokyo North-Holland is an imprint of Elsevier North-Holland is an imprint of Elsevier Radarweg 29, PO Box 211, 1000 AE Amsterdam, The Netherlands The Boulevard, Langford Lane, Kidlington, Oxford OX5 1GB, UK First edition 2007 Copyright © 2007 Elsevier B.V. All rights reserved No part of this publication may be reproduced, stored in a retrieval system or transmitted in any form or by any means electronic, mechanical, photocopying, recording or otherwise without the prior written permission of the publisher Permissions may be sought directly from Elsevier’s Science & Technology Rights Department in Oxford, UK: phone (+44) (0) 1865 843830; fax (+44) (0) 1865 853333; email: INTRODUCTION TO THE SERIES Advisory Editors: Kenneth J. Arrow, Stanford University, George C. Constantinides, University of Chicago, Harry M. Markowitz, University of California, San Diego, Robert C. Mer- ton, Harvard University, Stewart C. Myers, Massachusetts Institute of Technology, Paul A. Samuelson, Massachusetts Institute of Technology, and William F. Sharpe, Stanford University. The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series presents an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. The goal is to have a broad group of outstanding volumes in various areas of finance. William T. Ziemba University of British Columbia v This page intentionally left blank CONTENTS OF THE HANDBOOK Volume 1 Theory and Methodology Chapter 1 Enterprise-Wide Asset and Liability Management: Issues, Institutions, and Models Dan Rosen and Stavros A. Zenios 1 Chapter 2 Term and Volatility Structures Roger J.-B. Wets and Stephen W. Bianchi 25 Chapter 3 Protecting Investors against Changes in Interest Rates Olivier de La Grandville 69 Chapter 4 Risk-Return Analysis Harry M. Markowitz and Erik van Dijk 139 Chapter 5 Dynamic Asset Allocation Strategies Using a Stochastic Dynamic Programming Approach Gerd Infanger 199 Chapter 6 Stochastic Programming Models for Asset Liability Management Roy Kouwenberg and Stavros A. Zenios 253 Chapter 7 Bond Portfolio Management via Stochastic Programming M. Bertocchi, V. Moriggia and J. Dupacˇová 305 Chapter 8 Perturbation Methods for Dynamic Portfolio Allocation Problems George Chacko and Karl Neumar 337 Chapter 9 The Kelly Criterion in Blackjack Sports Betting, and the Stock Market Edward O. Thorp 385 Chapter 10 Capital Growth: Theory and Practice Leonard C. MacLean and William T. Ziemba 429 vii viii Contents of the Handbook Volume 2 Applications and Case Studies Preface xi A. Banking Chapter 11 ALM in Banking Jean Dermine 489 B. Insurance Chapter 12 Dynamic Financial Analysis for Multinational Insurance Companies John M. Mulvey, Bill Pauling, Stephen Britt and François Morin 543 Chapter 13 Stochastic Programming Models for Strategic and Tactical Asset Allocation—A Study from Norwegian Life Insurance Kjetil Høyland and Stein W. Wallace 591 Chapter 14 Design and Management of Unit-linked Life Insurance Contracts with Guarantees Ronald Hochreiter, Georg Pflug and Volkert Paulsen 627 Chapter 15 The Prometeia Model for Managing Insurance Policies with Guarantees Andrea Consiglio, Flavio Cocco and Stavros A. Zenios 663 C. Money Management Chapter 16 Integrated Risk Control Using Stochastic Programming ALM Models for Money Management N.C.P. Edirisinghe 707 D. Individual Investor Financial Planning Chapter 17 Asset–Liability Management for Individual Investors Giorgio Consigli 751 E. Pension Funds Chapter 18 A Scenario Approach of ALM Guus Boender, Cees Dert, Fred Heemskerk and Henk Hoek 829 Chapter 19 The Russell-Yasuda Kasai, InnoALM and Related Models for Pensions, Insurance Companies and High Net Worth Individuals William T. Ziemba 861 Contents of the Handbook ix Chapter 20 Dynamic Asset and Liability Management for Swiss Pension Funds Gabriel Dondi, Florian Herzog, Lorenz M. Schumann and Hans P. Geering 963 Chapter 21 Joined-Up Pensions Policy in the UK: An Asset–Liability Model for Simultaneously Determining the Asset Allocation and Contribution Rate John Board and Charles Sutcliffe 1029 F. Social Security Chapter 22 ALM Issues in Social Security Sandra L. Schwartz and William T. Ziemba 1069
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