6533b835fe1ef96bd129eac1
RESEARCH PRODUCT
A Conditional Value–at–Risk Model for Insurance Products with Guarantee
Andrea ConsiglioA. PecorellaStavros A. ZeniosAndrea ConsiglioA. PecorellaStavros A. Zeniossubject
Mathematical optimizationPortfolio selection.Actuarial scienceComputer scienceCVARAsset-liability managementAsset-liability management; Conditional value-at-risk; CVaR; Policies with a minimum guarantee; Portfolio selection.Management Science and Operations ResearchPolicies with a minimum guaranteeExpected shortfallInsurance policyReplicating portfolioPortfolioCapital asset pricing modelAsset (economics)Statistics Probability and UncertaintyBusiness and International ManagementPortfolio optimizationCVaRConditional value-at-riskdescription
We propose a model to select the optimal portfolio which underlies insurance policies with a guarantee. The objective function is defined in order to minimise the conditional value at-risk (CVaR) of the distribution of the losses with respect to a target return. We add operational and regulatory constraints to make the model as flexible as possible when used for real applications. We show that the integration of the asset and liability side yields superior performances with respect to naive fixed-mix portfolios and asset based strategies. We validate the model on out-of-sample scenarios and provide insights on policy design.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2009-01-01 |