Abstract
Asset liability matching remains an important topic in life insurance research. The objective of this paper is to find an optimal asset allocation for a general portfolio of life insurance policies. Using a multi-asset model to investigate the optimal asset allocation of life insurance reserves, this study obtains formulae for the first two moments of the accumulated asset value. These formulae enable the analysis of portfolio problems and a first approximation of optimal investment strategies. This research provides a new perspective for solving both single-period and multiperiod asset allocation problems in application to life insurance policies. The authors obtain an efficient frontier in the case of single-period method; for the multiperiod method, the optimal asset allocation strategies can differ considerably for different portfolio structures.
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