Asset and Liability Management Handbook
Recent years have shown an increase in development and acceptance of quantitative methods for asset and liability management strategies. This book presents state of the art quantitative decision models for three sectors: pension funds, insurance companies
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Asset and Liability Management Handbook Edited by
Gautam Mitra Chairman and Managing Director of OptiRisk Systems Distinguished Professor and Director of CARISMA, Brunel University, UK
and
Katharina Schwaiger Quantitative Analyst at OptiRisk Systems and a Postdoctoral Knowledge Transfer Partnership (KTP) Associate at CARISMA, Brunel University, UK
Introduction, selection and editorial matter © Gautam Mitra and Katharina Schwaiger 2011 Individual chapters © contributors 2011 Foreword © Nigel Masters 2011 Softcover reprint of the hardcover 1st edition 2011 978-0-230-27779-3
All rights reserved. No reproduction, copy or transmission of this publication may be made without written permission. No portion of this publication may be reproduced, copied or transmitted save with written permission or in accordance with the provisions of the Copyright, Designs and Patents Act 1988, or under the terms of any licence permitting limited copying issued by the Copyright Licensing Agency, Saffron House, 6-10 Kirby Street, London EC1N 8TS. Any person who does any unauthorized act in relation to this publication may be liable to criminal prosecution and civil claims for damages. The authors have asserted their rights to be identified as the authors of this work in accordance with the Copyright, Designs and Patents Act 1988. First published 2011 by PALGRAVE MACMILLAN Palgrave Macmillan in the UK is an imprint of Macmillan Publishers Limited, registered in England, company number 785998, of Houndmills, Basingstoke, Hampshire RG21 6XS. Palgrave Macmillan in the US is a division of St Martin’s Press LLC, 175 Fifth Avenue, New York, NY 10010. Palgrave Macmillan is the global academic imprint of the above companies and has companies and representatives throughout the world. Palgrave® and Macmillan® are registered trademarks in the United States, the United Kingdom, Europe and other countries.
ISBN 978-1-349-32573-3 ISBN 978-0-230-30723-0 (eBook) DOI 10.1057/9780230307230 This book is printed on paper suitable for recycling and made from fully managed and sustained forest sources. Logging, pulping and manufacturing processes are expected to conform to the environmental regulations of the country of origin. A catalogue record for this book is available from the British Library. Library of Congress Cataloging-in-Publication Data Asset and liability management handbook / [edited by] Gautam Mitra, Katharina Schwaiger. p. cm. Includes index. Summary: “Recent years have shown an increase in development and acceptance of quantitative methods for asset and liability management strategies. This book presents state of the art quantitative decision models for three sectors: pension funds, insurance companies and banks, taking into account new regulations and the industries risks” – Provided by publisher. 1. Asset-liability management. 2. Asset-liability management – Mathematical models. I. Mitra, Gautam. II. Schwaiger, Katharina, 1983– HG1615.25.A73 2011 332.0681—dc22 10 9 8 7 6 5 4 3 2 1 20 19 18 17 16 15 14 13 12 11
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