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ANDREA CONSIGLIO

Asset and Liability Management for Insurance Products with Minimum Guarantees: The UK Case

  • Autori: CONSIGLIO, A; SAUNDERS, D; ZENIOS, SA
  • Anno di pubblicazione: 2006
  • Tipologia: Articolo in rivista
  • Parole Chiave: Insurance; Minimum guarantees; Stochastic programming; Portfolio optimization
  • OA Link: http://hdl.handle.net/10447/2979

Abstract

Modern insurance products are becoming increasingly complex, offering various guarantees, surrender options and bonus provisions. A case in point are the with-profits insurance policies offered by UK insurers. While these policies have been offered in some form for centuries, in recent years their structure and management have become substantially more involved. The products are particularly complicated due to the wide discretion they afford insurers in determining the bonuses policyholders receive. In this paper, we study the problem of an insurance firm attempting to structure the portfolio underlying its with-profits fund. The resulting optimization problem, a non-linear program with stochastic variables, is presented in detail. Numerical results show how the model can be used to analyse the alternatives available to the insurer, such as different bonus policies and reserving methods.