Standard approaches to asset & liability risk

Boualem Djehiche, Per Hörfelt

Research output: Contribution to journalArticlepeer-review


We compare two different models for assets and liabilities for an insurance company that can be considered in the standard approach to solvency assessment and in particular, in determining the required target capital. The first model is suggested by a joint working party by members in CEA, Comité Européen des Assurances, and is based on the duration concept and the second one is an application of ideas by Samuelson and Vasicek.

Original languageEnglish (US)
Pages (from-to)377-400
Number of pages24
JournalScandinavian Actuarial Journal
Issue number5
StatePublished - Sep 1 2005


  • Asset liability
  • Coherent risk measure
  • Mismatch
  • Solvency
  • Target capital
  • Value-at-Risk

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty


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