Asset and Liability Modelling for Participating Policies with Guarantee

Andrea Consiglio, Flavio Cocco, Stavros A. Zenios

Risultato della ricerca: Articlepeer review

22 Citazioni (Scopus)

Abstract

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.
Lingua originaleEnglish
pagine (da-a)380-404
Numero di pagine450
RivistaEuropean Journal of Operational Research
Volume186
Stato di pubblicazionePublished - 2008

All Science Journal Classification (ASJC) codes

  • Computer Science(all)
  • Modelling and Simulation
  • Management Science and Operations Research
  • Information Systems and Management

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