6533b872fe1ef96bd12d426a
RESEARCH PRODUCT
Asset and Liability Modelling for Participating Policies with Guarantee
Andrea ConsiglioFlavio CoccoStavros A. ZeniosAndrea ConsiglioFlavio CoccoStavros A. Zeniossubject
Information Systems and ManagementGeneral Computer ScienceAsset–liability managementComputer sciencebusiness.industryRisk management; Asset–liability management; Insurance products with guaranteeInsurance products with guaranteeLiabilityAsset and liability managementManagement Science and Operations ResearchStructuringIndustrial and Manufacturing EngineeringRisk analysis (engineering)Risk managementSettore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.Risk analysis (business)Modeling and SimulationInsurance policyAsset (economics)businessRisk managementdescription
We study the problem of asset and liability management of participating insurance policies with guarantees. We develop a scenario optimization model for integrative asset and liability management, analyze the tradeoffs in structuring such policies, and study alternative choices in funding them. The nonlinearly constrained optimization model can be linearized through closed form solutions of the dynamic equations. Thus large-scale problems are solved with standard methods. We report on an empirical analysis of policies offered by Italian insurers. The optimized model results are in general agreement with current industry practices. However, some inefficiencies are identified and potential improvements are highlighted.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2008-04-01 |