Title: Optimal continuous-time ALM for insurers: a martingale approach,
Abstract: We study a continuous-time asset-allocation problem for a firm in the
insurance industry that backs up the liabilities raised by the insurance
contracts with the underwriting profits and the income resulting from investing
in the financial market. Using the martingale approach and convex duality
techniques we characterize strategies that maximize expected utility from
consumption and final wealth under CRRA preferences. We present numerical
results for some distributions of claims/liabilities with policy limits.