The Value of Integrative Risk Management for Insurance Products with Guarantees

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The Value of Integrative Risk Management for Insurance Products with Guarantees

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Andrea Consiglio
Flavio Cocco
Stavros A. Zenios

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Andrea Consiglio

Abstract

Insurers 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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Paper provided by Wharton School Center for Financial Institutions, University of Pennsylvania in its series Center for Financial Institutions Working Papers with number 01-06.

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Date of creation: Mar 2001
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Handle: RePEc:wop:pennin:01-06

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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)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Brennan, Michael J. & Schwartz, Eduardo S., 1976. "The pricing of equity-linked life insurance policies with an asset value guarantee," Journal of Financial Economics, Elsevier, vol. 3(3), pages 195-213, June. [Downloadable!] (restricted)
Boyle, Phelim P. & Hardy, Mary R., 1997. "Reserving for maturity guarantees: Two approaches," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 113-127, November. [Downloadable!] (restricted)
David F. Babbel & Craig Merrill, 1997. "Economic Valuation Models for Insurers," Center for Financial Institutions Working Papers 97-44, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
Sergio Siglienti, 2000. "Consequences of the Reduction of Interest Rates on Insurance," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan Journals, vol. 25(1), pages 63-77, January. [Downloadable!] (restricted)

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