Serving the Quantitative Finance Community

 
User avatar
ntruwant
Topic Author
Posts: 0
Joined: August 3rd, 2004, 9:50 am

Book on ALM Non-Life insurance

November 25th, 2008, 1:29 pm

HiIt is difficult to find a book within this field. Has anyone got a good suggestion?
 
User avatar
DavidJN
Posts: 242
Joined: July 14th, 2002, 3:00 am

Book on ALM Non-Life insurance

November 27th, 2008, 5:22 am

First stuff I'd look at is Jarrow and Deventer. You can look up their books on their www.Kamakuraco.com website (no affiliation with moi).
 
User avatar
ntruwant
Topic Author
Posts: 0
Joined: August 3rd, 2004, 9:50 am

Book on ALM Non-Life insurance

November 27th, 2008, 9:46 am

Thanks DavidJN: a good starting point!I am also looking for stuff specifically for non-life insurance and (very) technical: maybe anyone knows good papers?
 
User avatar
DavidJN
Posts: 242
Joined: July 14th, 2002, 3:00 am

Book on ALM Non-Life insurance

November 27th, 2008, 8:42 pm

People at the Dutch universities have done some good stuff on demand deposits and recently the Germans and Swiss are attacking these topics using stochastic dynamic programming. Try the University of St Galen. The American chappies James O'Brien and Richard Sheehan have written what I think is good stuff too. All demand depo stuff. More generally, there is an alm text by Chris Matten (spelling?) which a lot of people like, it looks very short on details but raises interesting ideas. In the final analysis there is a great deal of confusion about the topic so you will probably not find the mother of all tracts on alm. Consider equity duration, for example. Some people think it is very short, some think it is very long. No received wisdom, which when you think about it is a bit frightening.
 
User avatar
tibbar
Posts: 10
Joined: November 7th, 2005, 9:21 pm

Book on ALM Non-Life insurance

January 17th, 2009, 11:37 pm

There's little material on this topic, because of the unpredictability of non-life insurance liabilities. There's little you can do to match the liabilities beyond currency matching and it's unclear what is a good match for non-life claims inflation.You end up in the situation where the answer any ALM study will provide is simply what goes in - i.e. your expected return and volatility assumptions by asset type. Non-life insurers invest conservatively in short dated fixed income assets, very little in equity.In terms of risk budgeting, the companies are allocating the majority of the budget to underwriting risk, not asset risk.
 
User avatar
KTE
Posts: 0
Joined: February 4th, 2002, 3:21 pm

Book on ALM Non-Life insurance

January 18th, 2009, 12:44 am

I think Martin Leibowitz, formerly of Salomon Brothers and TIAA-CREF, has published some books on shortfall risks that are worth a look.
Last edited by KTE on January 17th, 2009, 11:00 pm, edited 1 time in total.
 
User avatar
WilmottBookshop
Posts: 0
Joined: August 1st, 2002, 2:40 pm

Book on ALM Non-Life insurance

January 19th, 2009, 8:21 am

Franchise Value and the Price/earnings Ratio by Martin L. Leibowitz and Stanley KogelmanFranchise Value: A Modern Approach to Security Analysis by Martin L. LeibowitzSales-driven Franchise Value by Martin L. Leibowitz
 
User avatar
ntruwant
Topic Author
Posts: 0
Joined: August 3rd, 2004, 9:50 am

Book on ALM Non-Life insurance

January 19th, 2009, 10:49 am

QuoteOriginally posted by: tibbarYou end up in the situation where the answer any ALM study will provide is simply what goes in - i.e. your expected return and volatility assumptions by asset type. Non-life insurers invest conservatively in short dated fixed income assets, very little in equity.I agree that this is what happens in reality, but I do not understand why: if there is all of a sudden a big jump in volatility, there is normally a big part for the re-insurer. For my company, we haven't seen this volatility in net-results in the last 30 years: if we had invested in the long run, we would have gained 20 bps on average I think...
 
User avatar
florian
Posts: 0
Joined: October 30th, 2006, 5:56 pm

Book on ALM Non-Life insurance

January 22nd, 2009, 2:16 pm

Hi,there aren't many book on this topic.I like these ones:* There is a nice brochure from Swiss Re, called something like "Value creation for insurers" or similar. * A book called "From derivatives to insurance", but there is not too much on non-life ALM* A paper on "INTRODUCTION TO DYNAMIC FINANCIAL ANALYSIS", * This one: http://www.wiley.co.uk/eoas/pdfs/TAD036-.pdfI think the main topics in Non-Life ALM are inflation and the (economic) valuation of liabilities.cheers, florian