A STOCHASTIC DYNAMIC PROGRAMMING MODEL FOR THE OPTIMIZATION OF ASSET/LIABILITY MANAGEMENT IN IRANIAN INSURANCE COMPANIES

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

ANVARI ROSTAMI ALI ASGHAR; HABIBI H.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: DANESHVAR RAFTAR Year:2004 | Volume:11 | Issue:5 Page(s): 1-10

Download Full-Text

Persian Verion

View:

1,124

Download:

Cites:

Information Journal Paper

Title

A STOCHASTIC DYNAMIC PROGRAMMING MODEL FOR THE OPTIMIZATION OF ASSET/LIABILITY MANAGEMENT IN IRANIAN INSURANCE COMPANIES

Author(s)

ANVARI ROSTAMI ALI ASGHAR | HABIBI H. | Issue Writer Certificate

Keywords

STOCHASTIC DYNAMIC PROGRAMMING (SDP)Q4

DETERMINISTIC DYNAMIC PROGRAMMING (DDP)Q4

ASSET/LIABILITY MANAGEMENT (ALM)Q4

INVESTMENT PORTFOLIOQ4

IRANIAN INSURANCE COMPANIES (IIC)Q4

Abstract

This paper provides a Stochastic Dynamic Programming (SDP) model for the optimization of Asset/Liability Management (ALM) in Iranian Insurance Companies (IIC). Regarding the legal and the operational constraints, and the characteristic of investment operations in Iran, the proposed SDP model maximizes the most important stockholder oriented objective of the insurance companies (long term wealth) by maximizing net present value of the companies' future cash flows minus costs of deviations from goal constraints. Results of the proposed SDP model are compared to that of the proposed Deterministic Dynamic Programming (DDP) model and to the present condition in which the companies operate. The results show that the proposed SDP model meaningfully outperforms results of the DDP model and the present condition of the operations.

Cites

No record.

References

اهمیت سرمایه گذاری شرکت های بیمه

Cite

APA: Copy

ANVARI ROSTAMI, ALI ASGHAR, & HABIBI, H.. (2004). A STOCHASTIC DYNAMIC PROGRAMMING MODEL FOR THE OPTIMIZATION OF ASSET/LIABILITY MANAGEMENT IN IRANIAN INSURANCE COMPANIES. DANESHVAR RAFTAR, 11(5), 1-10. SID. https://sid.ir/paper/46356/en

Vancouver: Copy

ANVARI ROSTAMI ALI ASGHAR, HABIBI H.. A STOCHASTIC DYNAMIC PROGRAMMING MODEL FOR THE OPTIMIZATION OF ASSET/LIABILITY MANAGEMENT IN IRANIAN INSURANCE COMPANIES. DANESHVAR RAFTAR[Internet]. 2004;11(5):1-10. Available from: https://sid.ir/paper/46356/en

IEEE: Copy

ALI ASGHAR ANVARI ROSTAMI, and H. HABIBI, “A STOCHASTIC DYNAMIC PROGRAMMING MODEL FOR THE OPTIMIZATION OF ASSET/LIABILITY MANAGEMENT IN IRANIAN INSURANCE COMPANIES,” DANESHVAR RAFTAR, vol. 11, no. 5, pp. 1–10, 2004, [Online]. Available: https://sid.ir/paper/46356/en

Related Journal Papers