The Value of Integrative Risk Management for Insurance Products with Guarantees

Andrea Consiglio (), Flavio Cocco and Stavros A. Zenios

Center for Financial Institutions Working Papers from Wharton School Center for Financial Institutions, University of Pennsylvania

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.

New Economics Papers: this item is included in nep-acc, nep-fmk and nep-ias
Date: Written
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Persistent link: http://EconPapers.repec.org/RePEc:wop:pennin:01-06

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