Asset Liability Management

Asset Liability Management (ALM) is the practice of managing risks that arise due to gaps between assets and liabilities of e.g. insurance companies, banks or other financial institutions.

ALM is also frequently used as a decision making instrument in the context of occupational pension funds. While the liability side is often given by the structure of the considered pension fund, the main question is how to properly invest the monetary contributions of the employees such that the future pension obligations can be served optimal.

The goal of this project was to develop a sophisticated and robust simulation tool. Given an asset allocation, the tool simulates via Monte Carlo methods the asset side of an occupational pension fund portfolio using quite specific investment strategies. Further it provides key data like shortfall probabilities, expected gaps or even worst and best case scenarios.

This project was joint work with a financial service provider in Frankfurt (Main).

Webmaster

FB 4 - Department of Mathematics University of Trier

WAP-Homepage: http://www.mathematik.uni-trier.de/wap/