We study the problem of asset and liability management of participating insurance policies with guarantees. We developa scenario optimization model for integrative asset and liability management, analyse the tradeoffs in structuring such policies,and study alternative choices in funding them. The nonlinearly constrained optimization model can be linearisedthrough 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 agreementwith current industry practices. However, some inefficiencies are identified and potential improvements arehighlighted.
|Numero di pagine||450|
|Rivista||European Journal of Operational Research|
|Stato di pubblicazione||Published - 2008|
All Science Journal Classification (ASJC) codes