Search results for "Insurance policy"
showing 8 items of 18 documents
Asset and Liability Modelling for Participating Policies with Guarantee
2008
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 im…
Insurance Supervisory Law and Consumer Protection
2015
This chapter discusses the relationship between insurance supervisory law and consumer protection within the ambit of Solvency II and the EIOPA system. To this, the article focuses on existing laws, with particular regard given to European rules on insurance supervision. The Solvency II Directive takes as its exclusive objective the protection of insureds and insurance beneficiaries. Solvency II does not address consumer protection. Nevertheless, consumer protection is a significant by-product of the Solvency II rules, in the sense of collective consumer protection. The EIOPA Regulation provisions, too, address consumer protection solely in the realm of collective consumer protection. The a…
The prometeia model for managing insurance policies with guarantees
2008
Publisher Summary This chapter discusses the development of a scenario-based optimization model for asset and liability management for the participating policies with guarantees and bonus provisions offered by Italian insurers. The changing landscape of the financial services in Italy sets the backdrop for the development of this system which was the result of a multi-year collaborative effort between academic researchers, the research staff at Prometeia in Bologna, and end-users from diverse Italian insurers. It also presents and discusses the model and its key feature, and introduces several extensions. The resulting system allows the analysis of the tradeoffs facing an insurance firm in …
A Conditional Value–at–Risk Model for Insurance Products with Guarantee
2009
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.
The Fair Premium of an Equity—Linked Life and Pension Insurance
2002
An equity linked life and pension insurance contract consists of an nonlinear combination of a life and pension insurance with an investment strategy. In addition to the guaranteed payments the insured receives a bonus depending on the value of an investment strategy. The additional payment is similar to an Asian type option. Since the insurance contract combines mortality and financial risks in a nonlinear way, the value or premium of the contract must reflect these uncertainties. Within this context a premium sequence is called fair if the accumulated expected discounted premium is equal to the accumulated expected discounted payments of the contract. This paper shows the existence of a f…
Problem Questions of Insurance Contract Regulation in Latvia
2012
This paper reviews significant defects of Latvian Insurance Contract Law arising from its drafting procedure and interrelation with other laws. Particular attention is paid to the out-dated approaches contained in this law, and the paper discusses them in conjunction with approaches developed in other European countries, including neighboring countries. The paper challenges inclusion of regulations of insurance contract in the above mentioned separate law and instead proposes its inclusion in the Civil Law of the Republic of Latvia, and provides grounds for such proposal.
Pricing Reinsurance Contracts
2011
Pricing and hedging insurance contracts is hard to perform if we subscribe to the hypotheses of the celebrated Black and Scholes model. Incomplete market models allow for the relaxation of hypotheses that are unrealistic for insurance and reinsurance contracts. One such assumption is the tradeability of the underlying asset. To overcome this drawback, we propose in this chapter a stochastic programming model leading to a superhedging portfolio whose final value is at least equal to the insurance final liability. A simple model extension, furthermore, is shown to be sufficient to determine an optimal reinsurance protection for the insurer: we propose a conditional value at risk (VaR) model p…
Contratto ed emergenza sanitaria in Italia
2021
Questo articolo si propone di analizzare il disastro globale causato dall'epidemia di COVID-19 che ha turbato l'esistenza di quasi tutta l'umanità. Esaminare le significative limitazioni alle libertà individuali e collettive per proteggere la salute pubblica e, in secondo luogo, mitigare il più possibile l'impatto della pandemia sulle attività economiche. L'attenzione dell'articolo si concentrerà esclusivamente sulle norme che impattano sulla disciplina generale delle obbligazioni e dei contratti, tralasciando le importantissime disposizioni in materia di rapporti di lavoro, contratti di mutuo, contratti bancari e assicurativi, ecc. Verificherà fino a che punto la situazione sociale, sanit…