The Value of Integrative Risk Management for Insurance Products with Guarantees
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.
|Date of creation:||Mar 2001|
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- Sergio Siglienti, 2000. "Consequences of the Reduction of Interest Rates on Insurance," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 25(1), pages 63-77, January.
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- 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.
- 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.
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