Asset and Liability Management for Insurance Products with Minimum Guarantees: The UK Case

Andrea Consiglio, David Saunders, Stavros A. Zenios

Risultato della ricerca: Article

23 Citazioni (Scopus)

Abstract

Modern insurance products are becoming increasingly complex, offering various guarantees,surrender options and bonus provisions. A case in point are the with-profits insurancepolicies offered by UK insurers. While these policies have been offered in some form for centuries,in recent years their structure and management have become substantially moreinvolved. The products are particularly complicated due to the wide discretion they affordinsurers in determining the bonuses policyholders receive. In this paper, we study the problemof an insurance firm attempting to structure the portfolio underlying its with-profits fund. Theresulting optimization problem, a non-linear program with stochastic variables, is presented indetail. Numerical results show how the model can be used to analyse the alternatives availableto the insurer, such as different bonus policies and reserving methods.
Lingua originaleEnglish
pagine (da-a)645-667
RivistaJOURNAL OF BANKING & FINANCE
Volume30
Stato di pubblicazionePublished - 2006

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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