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ALM Stochastic Modelling and Simulation

Castagna and Manenti, Sight Deposit and Non-Maturing Liability Modeling, here.

van Deventer, Essential Model Validation for Interest Rate Risk and ALM, here.

Gerstner, Griebel, Holtz, Numerical Simulation for Asset Liability in Life Insurance, here.

Efficient Deterministic Numerical Simulation of Stochastic Asset Liability Models in Life Insurance, here.

Koursaris, A Least Squares Monte Carlo Approach to Liability Proxy Modelling and Capital Calculation, here.

Hilli, Ksiva, Pennenea, A Stochastic Programming Model for Asset Liability Management of a Finnish Pension Company, here.

Kouwenberg and Zenios, Stochastic Programming Models for Asset Liability Management, 2001, here. Nice references

Shapiro and Philpott, A Tutorial on Stochastic Programming,2007, here.  Nice introductory prose from Nemrovski’s crew.

 

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