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

Andrea Consiglio, Stavros A. Zenios, David Saunders

Risultato della ricerca: Article

22 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 insurance policies 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 more involved. The products are particularly complicated due to the wide discretion they afford insurers in determining the bonuses policyholders receive. In this paper, we study the problem of an insurance firm attempting to structure the portfolio underlying its with-profits fund. The resulting optimization problem, a non-linear program with stochastic variables, is presented in detail. Numerical results show how the model can be used to analyse the alternatives available to 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

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Insurer
Asset and liability management
Bonus
Insurance
Guarantee
Profit
Optimization problem
Surrender option
Discretion
Bonuses

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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Asset and Liability Management for Insurance Products with Minimum Guarantees: The UK Case. / Consiglio, Andrea; Zenios, Stavros A.; Saunders, David.

In: JOURNAL OF BANKING & FINANCE, Vol. 30, 2006, pag. 645-667.

Risultato della ricerca: Article

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