The impact of illiquidity on the asset management of insurance companies

Berry-Stölzle, Thomas R.

doi:10.1016/j.insmatheco.2007.09.005

Cited by 4 publications

(2 citation statements)

References 36 publications

(51 reference statements)

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“…First, decentralisation by central governments transforms local government to become a large property holder almost overnight (Hentschel and Kaganova, 2007). Second, this transformation is not often followed by an income adjustment to support local government's ownership of the assets (Banner and Gagne, 1995; Berry‐Stolzle, 2008; Bloomberg, 2007; Bovaird and Loffler, 2008a; Buchanan and Musgrave, 1999; Too, 2007). Third, there is a wide gap between demand for public services and availability of assets as supporting tools to successfully deliver these services (Ayuningtiyas, 2008; Bovaird and Loffler, 2008b; Brown and Potoski, 2004; Jolicoeur and Barrett, 2004).…”

Section: Literature Reviewmentioning

confidence: 99%

The application of public asset management in Indonesian local government

Hanis

Trigunarsyah

Susilawati

2011

Journal of Corporate Real Estate

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PurposeThe purpose of this paper is to identify the challenges faced by local government in Indonesia when adopting a public asset management framework.Design/methodology/approachA case study within the South Sulawesi provincial government was used as the approach to achieve the research objective. The case study involved two data collection techniques – interviews and document analysis.FindingsThe result of the study indicates there are significant challenges that the Indonesian local government need to manage when adopting a public asset management framework. Those challenges are: the absence of an institutional and legal framework to support the asset management application; the non‐profit principle of public assets; multiple jurisdictions involved in the public asset management processes; the complexity of local government objectives; the non‐availability of data for managing public property; and limited human resources.Research limitations/implicationsThis research is limited to one case study. It is a preliminary study from larger research that uses multiple case studies. The main research also investigates opportunities for local government by adopting and implementing public asset management.Originality/valueThe paper's findings provide useful input for the policy makers, academics and asset management practitioners in Indonesia to establish a public asset management framework resulting in efficient and effective organizations, as well as an increase of public services quality. This study has a potential application in other developing countries.

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Section: Literature Reviewmentioning

confidence: 99%

The application of public asset management in Indonesian local government

Hanis

Trigunarsyah

Susilawati

2011

Journal of Corporate Real Estate

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“…Carr and Linetsky (2006)) of the credit intensity. In line with practice and the literature, the institution optimizes its solvency over a given horizon (Berry-Stölzle, 2008;Cousin et al, 2016;Pan and Xiao, 2017) and the optimal strategies are illustrated by numerical resolution using the methodology introduced in Brandt et al (2005) and the calibration of market data for interest rate and credit intensity.…”

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confidence: 97%

Optimal Asset Allocation Subject to Withdrawal Risk and Solvency Constraints

Cousin

Jiao

Robert

et al. 2022

Risks

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This paper investigates the optimal asset allocation of a financial institution whose customers are free to withdraw their capital-guaranteed financial contracts at any time. In accounting for the asset-liability mismatch risk of the institution, we present a general utility optimization problem in a discrete-time setting and provide a dynamic programming principle for the optimal investment strategies. Furthermore, we consider an explicit context, including liquidity risk, interest rate, and credit intensity fluctuations, and show by numerical results that the optimal strategy improves both the solvency and asset returns of the institution compared to a standard institutional investor’s asset allocation.

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Dynamic asset-liability management with frictions

Yan

Han

et al. 2023

Insurance: Mathematics and Economics

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The impact of illiquidity on the asset management of insurance companies

Cited by 4 publications

References 36 publications

The application of public asset management in Indonesian local government

The application of public asset management in Indonesian local government

Optimal Asset Allocation Subject to Withdrawal Risk and Solvency Constraints

Dynamic asset-liability management with frictions

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