volume 6, issue 2, P259-296 2000
DOI: 10.1017/s1357321700001823
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M. P. Cumberworth, A. N. Hitchcox, W.D. McConnell, A.D. Smith

Abstract: This paper shows how the powerful and flexible tool of stochastic modelling can be applied to a range of business decisions extending far beyond the asset allocation solutions that are common to many asset/liability modelling studies. The example used to demonstrate these techniques is a general insurance case study, but similar principles can be extended to many different business situations. At each stage of the analysis we consider the implications of modern financial theory on the management decision proc…

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