A Conditional Value–at–Risk Model for Insurance Products with Guarantee

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3 Citations (Scopus)

Abstract

We propose a model to select the optimal portfolio whichunderlies insurance policies with a guarantee. The objective function isdefined in order to minimise the conditional value-at-risk (CVaR) of thedistribution of the losses with respect to a target return. We add operationaland regulatory constraints to make the model as flexible as possible whenused for real applications. We show that the integration of the asset andliability side yields superior performances with respect to naive fixed-mixportfolios and asset based strategies.We validate the model on out-of-samplescenarios and provide insights on policy design.
Original languageEnglish
Pages (from-to)122-137
Number of pages200
JournalInternational Journal of Risk Assessment and Management
Volume11
Publication statusPublished - 2009

All Science Journal Classification (ASJC) codes

  • Business and International Management
  • Statistics, Probability and Uncertainty
  • Management Science and Operations Research

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