The classical martingale approach provides an investment strategy investing one fraction of the capital in liquid risky assets as well as another fraction in the money market account with fixed interest. The purpose of this thesis is to expand these two investment options by a third, illiquid derivative, which has stochastic behaviour but can only be traded once at the beginning of the investment period. Especially we want to extend the framework of Desmettre and Seifried (2016) and, besides a long position, also allow a short position in illiquid derivatives. This implies extending the martingale approach by random utility functions depending on the given position in the illiquid derivative. In a second step, this approach will be used for generating investment strategies in an asset-liability management context. The general setting for stochastic liabilities will cover marketed and non-marketed risk drivers. Therefore, we will investigate different models for stochastic liabilities and then apply the extended martingale approach. Especially we will cover the case for liabilities that are only depending on marketed risk drivers as well as depending on both marketed and non-marketed risk drivers, i.e. interest rate and intion risk respectively. In a last step, an optimization of the liability position for different initial budget conditions will be assessed, which can be interpreted as additionalffbudget generated by premiums or costs caused by distribution channels.     «

The classical martingale approach provides an investment strategy investing one fraction of the capital in liquid risky assets as well as another fraction in the money market account with fixed interest. The purpose of this thesis is to expand these two investment options by a third, illiquid derivative, which has stochastic behaviour but can only be traded once at the beginning of the investment period. Especially we want to extend the framework of Desmettre and Seifried (2016) and, besides a l...     »