The Value of Integrative Risk Management for Insurance Products with Guarantees
AbstractInsurers increasingly offer policies that converge with the products of the capital markets, and they face a need for integrative asset and liability management strategies. In this paper we show that an integrative approach -- based on scenario optimization modeling -- adds value to the risk management process, when compared to traditional methods. Empirical analysis with products offered by the Italian insurance industry are presented. The results have implications for the design of competitive insurance policies, and some examples are analyzed.
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Bibliographic InfoPaper provided by Wharton School Center for Financial Institutions, University of Pennsylvania in its series Center for Financial Institutions Working Papers with number 01-06.
Date of creation: Mar 2001
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This paper has been announced in the following NEP Reports:
- NEP-ACC-2001-07-23 (Accounting & Auditing)
- NEP-ALL-2001-07-23 (All new papers)
- NEP-FMK-2001-07-23 (Financial Markets)
- NEP-IAS-2001-07-23 (Insurance Economics)
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