6533b860fe1ef96bd12c3b06

RESEARCH PRODUCT

The value of integrative risk management for insurance products with guarantees

Flavio CoccoAndrea ConsiglioStavros A. ZeniosStavros A. ZeniosStavros A. Zenios

subject

Actuarial sciencebusiness.industryDownside riskAsset allocationAsset and liability managementInsurance with guarantee portfolio management stochastic programmingKey person insuranceInsurance policyEconomicsRisk poolProject portfolio managementbusinessFinanceRisk management

description

Insurance liabilities are converging with capital markets products (e.g. derivatives and securitizations), thereby increasing the demand for integrated asset and liability management strategies. This article compares the value-added by an integrative approach-based on scenario optimization modelling-relative to traditional risk management methods. The authors present some examples of products offered by the insurance industry in Italy, and apply the results of the analysis to the design of competitive insurance policies. © Emerald Backfiles 2007.

yearjournalcountryeditionlanguage
2001-02-01
10.1108/eb043464http://hdl.handle.net/10447/432625