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DC Field | Value | Language |
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dc.date.accessioned | 2022-03-15T10:17:46Z | - |
dc.date.available | 2022-03-15T10:17:46Z | - |
dc.date.issued | 2014 | - |
dc.identifier.citation | Fenech Adami, A. (2014). Stochastic asset liability modelling in life insurance (Bachelor's dissertation). | en_GB |
dc.identifier.uri | https://www.um.edu.mt/library/oar/handle/123456789/91431 | - |
dc.description | B.SC.(HONS)STATS.&OP.RESEARCH | en_GB |
dc.description.abstract | The aim of this dissertation is to create an Asset Liability Model for a life insurance company using Stochastic Differential Equations. The assets will be modelled using continuous Stochastic Differential Equations, and the liabilities, in our case, the claims, will be modelled using the Compound Poisson Process. Special attention will be given to the development of the stochastic calculus of Stochastic Differential Equations with jumps. Then, the dissertation will conclude by running simulations on our Asset Liability Model. These will be performed using the Euler Discretization Scheme, and the parameters estimated using the Method of Maximum Likelihood. | en_GB |
dc.language.iso | en | en_GB |
dc.rights | info:eu-repo/semantics/restrictedAccess | en_GB |
dc.subject | Life insurance | en_GB |
dc.subject | Stochastic differential equations | en_GB |
dc.subject | Poisson processes | en_GB |
dc.subject | Stochastic analysis | en_GB |
dc.subject | Asset-liability management | en_GB |
dc.title | Stochastic asset liability modelling in life insurance | en_GB |
dc.type | bachelorThesis | en_GB |
dc.rights.holder | The copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder. | en_GB |
dc.publisher.institution | University of Malta | en_GB |
dc.publisher.department | Faculty of Science. Department of Statistics and Operations Research | en_GB |
dc.description.reviewed | N/A | en_GB |
dc.contributor.creator | Fenech Adami, Andrea (2014) | - |
Appears in Collections: | Dissertations - FacSci - 1965-2014 Dissertations - FacSciSOR - 2000-2014 |
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B.SC.(HONS)STATISTICS_Fenech_Adami_Andrea_2014.PDF Restricted Access | 5.74 MB | Adobe PDF | View/Open Request a copy |
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