Portfolio optimisation via replication

Filippo Della Casa and Michele Gaffo propose a new framework to run portfolio optimisation for life insurance business, by exporting the replicating portfolio technique from risk management to investment management. In particular, they develop a new risk-adjusted framework to efficiently compare a series of different asset allocation opportunities. The aim is not to derive a replicating portfolio, but rather to show how to leverage on fast liabilities repricing to support the investment management function within insurance companies

mathematics

The insurance industry is preparing itself for enabling a regular monitoring of the so-called economic balance sheet for steering purposes. The vast majority of insurance companies are currently developing their internal risk models in an attempt to obtain more transparency and efficiency in managing their risk exposures. Extremely volatile financial markets and the persistent low interest rate environment create an ever stronger need for frequent and sophisticated financial analysis

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

The future of life insurance

As the world constantly evolves and changes, so too does the life insurance industry, which is preparing for a multitude of challenges, particularly in three areas: interest rates, regulatory mandates and technology (software, underwriting tools and…

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here