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Matching

Published online by Cambridge University Press:  20 April 2012

A. J. Wise
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Extract

1.1 The basic task of actuarial valuation is to compare the quantity of assets with the quantity of liabilities. A refinement is to compare qualities as well as quantities.

1.2 The qualities of assets and liabilities are their characteristics of cash flow, duration, growth, price volatility, etc. This note considers a conceptual and mathematical framework for matching in the most general terms.

1.3 Insurance work in the United Kingdom uses the notion of reserves for mismatching. Pension fund valuations in the U.K. also tend to use a notion of matching when considering the actuarial value placed on the fund.

Type
Research Article
Information
Journal of the Institute of Actuaries , Volume 116 , Issue 3 , December 1989 , pp. 529 - 535
Copyright
Copyright © Institute and Faculty of Actuaries 1989

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References

Wise, A. J. (1984) The Matching of Assets to Liabilities. J.I.A. 111, 445.Google Scholar
Wise, A. J. (1984) A Theoretical Analysis of the Matching of Assets to Liabilities. J.I.A. 111, 375.Google Scholar
Wise, A. J. (1987) Matching and Portfolio Selection, Part 1. J.I.A. 114, 113.Google Scholar
Wise, A. J. (1987) Matching and Portfolio Selection, Part 2. J.I.A. 114, 551.Google Scholar
Wilkie, A. D. (1985) Portfolio Selection in the Presence of Fixed Liabilities: a Comment on the Matching of Assets to liabilities. J.I.A. 112, 229.Google Scholar