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

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3 Citazioni (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.
Lingua originaleEnglish
pagine (da-a)122-137
Numero di pagine200
RivistaInternational Journal of Risk Assessment and Management
Volume11
Stato di pubblicazionePublished - 2009

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Conditional Model
Insurance
Conditional Value at Risk
Optimal Portfolio
Objective function
Model
Minimise
Target
Conditional model
Guarantee
Policy
Assets

All Science Journal Classification (ASJC) codes

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

Cita questo

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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.",
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AU - Pecorella, Antonio

AU - Consiglio, Andrea

AU - Zenios, Stavros A.

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AB - 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.

KW - Asset-liability management

KW - CVaR

KW - Conditional value-at-risk

KW - Policies with a minimum guarantee

KW - Portfolio selection.

UR - http://hdl.handle.net/10447/35300

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JO - International Journal of Risk Assessment and Management

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