In this inaugural address Professor Pelsser investigates how one can strike a balance between investmens with a high expected return and high risk (e.g. stocks) versus low-risk investments with a low return (e.g.bonds). Using an example of a life-insurance company he shows in this address how one can employ optimisation-techniques to make a trade-off between the desire to find an investment return as high as possible under the constraint that the insurance company should be able to meet its obligations to the policyholders under all economic circumstances.

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Keywords asset liability management, business cinance, corporation finance, corporate finance and governance, financial management, investment policy, investments for insurance companies
JEL Econometric Modeling: General (jel C50), Insurance; Insurance Companies (jel G22), Corporate Finance and Governance (jel G3), Capital Budgeting; Investment Policy (jel G31), Business Administration and Business Economics; Marketing; Accounting (jel M)
Sponsor Erasmus University Rotterdam, Erasmus Research Institute of Management (ERIM)
ISBN 978-90-5892-041-6
Persistent URL
Series ERIM Inaugural Address Series Research in Management
Pelsser, A.A.J. (2003, May 2). Risico en Rendement in Balans voor Verzekeraars. ERIM Inaugural Address Series Research in Management. Retrieved from