English, Article, Journal or magazine article edition: The Value of Integrative Risk Management for Insurance Products with Guarantees Andrea Consiglio; Flavio Cocco; Stavros A. Zenios

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Bookmark: http://trove.nla.gov.au/version/190550
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The Value of Integrative Risk Management for Insurance Products with Guarantees
Author
  • Andrea Consiglio
  • Flavio Cocco
  • Stavros A. Zenios
Physical Description
  • preprint
Notes
  • 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.
  • RePEc:wop:pennin:01-06
Language
  • English
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