کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
477737 | 1446179 | 2008 | 25 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Asset and liability modelling for participating policies with guarantees
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Asset and liability modelling for participating policies with guarantees Asset and liability modelling for participating policies with guarantees](/preview/png/477737.png)
چکیده انگلیسی
We study the problem of asset and liability management of participating insurance policies with guarantees. We develop a scenario optimization model for integrative asset and liability management, analyze the tradeoffs in structuring such policies, and study alternative choices in funding them. The nonlinearly constrained optimization model can be linearized through 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 agreement with current industry practices. However, some inefficiencies are identified and potential improvements are highlighted.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 186, Issue 1, 1 April 2008, Pages 380–404
Journal: European Journal of Operational Research - Volume 186, Issue 1, 1 April 2008, Pages 380–404
نویسندگان
Andrea Consiglio, Flavio Cocco, Stavros A. Zenios,