ANDREA CONSIGLIO, FLAVIO COCCO and STAVROS A. ZENIOS
Insurance liabilities are converging with capital markets products (e.g. derivatives and securitizations), thereby increasing the demand for integrated asset and liability…
Abstract
Insurance liabilities are converging with capital markets products (e.g. derivatives and securitizations), thereby increasing the demand for integrated asset and liability management strategies. This article compares the value‐added by an integrative approach‐based on scenario optimization modelling‐relative to traditional risk management methods. The authors present some examples of products offered by the insurance industry in Italy, and apply the results of the analysis to the design of competitive insurance policies.