Analyzing legal regulations in the Norwegian life insurance business using a multistage asset liability management model

Management Science

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https://doi.org/10.1016/S0377-2217(00)00262-9
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Keywords

Life insurance, Legal regulations , Asset–liability management , Stochastic programming

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Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Analyzing legal regulations in the Norwegian life insurance business using a multistage asset liability management model. / Hoyland, Kjetil; Wallace, Stein W.
In: European Journal of Operational Research, Vol. 134, No. 2, 16.10.2001, p. 293-308.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Bibtex

@article{c826d44469964972945246aa0455a30b,

title = "Analyzing legal regulations in the Norwegian life insurance business using a multistage asset liability management model",

abstract = "The legal regulations for the life insurance business in Norway have recently been, and still are, under revision. The government's intention is to secure the interests of the customers in life insurance companies. However, there has been debate as to whether the regulations really are in the customers' best interest. We apply an asset–liability management (ALM) model to analyze the implications of the regulations. The model is multistage, stochastic and integrates assets and liabilities. We employ a four stage model to analyze the legal regulations, and conclude that the current legal framework is not in the insurance holders' best interests.",

keywords = "Life insurance, Legal regulations , Asset–liability management , Stochastic programming",

author = "Kjetil Hoyland and Wallace, {Stein W}",

year = "2001",

month = oct,

day = "16",

doi = "10.1016/S0377-2217(00)00262-9",

language = "English",

volume = "134",

pages = "293--308",

journal = "European Journal of Operational Research",

issn = "0377-2217",

publisher = "Elsevier Science B.V.",

number = "2",

}

RIS

TY - JOUR

T1 - Analyzing legal regulations in the Norwegian life insurance business using a multistage asset liability management model

AU - Hoyland, Kjetil

AU - Wallace, Stein W

PY - 2001/10/16

Y1 - 2001/10/16

N2 - The legal regulations for the life insurance business in Norway have recently been, and still are, under revision. The government's intention is to secure the interests of the customers in life insurance companies. However, there has been debate as to whether the regulations really are in the customers' best interest. We apply an asset–liability management (ALM) model to analyze the implications of the regulations. The model is multistage, stochastic and integrates assets and liabilities. We employ a four stage model to analyze the legal regulations, and conclude that the current legal framework is not in the insurance holders' best interests.

AB - The legal regulations for the life insurance business in Norway have recently been, and still are, under revision. The government's intention is to secure the interests of the customers in life insurance companies. However, there has been debate as to whether the regulations really are in the customers' best interest. We apply an asset–liability management (ALM) model to analyze the implications of the regulations. The model is multistage, stochastic and integrates assets and liabilities. We employ a four stage model to analyze the legal regulations, and conclude that the current legal framework is not in the insurance holders' best interests.

KW - Life insurance

KW - Legal regulations

KW - Asset–liability management

KW - Stochastic programming

U2 - 10.1016/S0377-2217(00)00262-9

DO - 10.1016/S0377-2217(00)00262-9

M3 - Journal article

VL - 134

SP - 293

EP - 308

JO - European Journal of Operational Research

JF - European Journal of Operational Research

SN - 0377-2217

IS - 2

ER -

Research

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