Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
477737 | European Journal of Operational Research | 2008 | 25 Pages |
Abstract
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.
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Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Andrea Consiglio, Flavio Cocco, Stavros A. Zenios,