The paper approaches the potential of risk-adjusted performance indicators in life insurance, with special reference to a structured policy. The final issue is the computation of risk adjusted indicators as a tool to evaluate the portfolio given a policy structure. The computation of such indicator could be suitable for the appraisal of both portfolio optimization and potential profits of the structured policy. The selection tool is put into an asset and liability management decision making context, where the relationship between expected surplus and capital at risk are compared. The analysis is applied to a structured temporary annuity and is treated by means of Monte Carlo simulations.
Risk-adjusted Performance Indicators in Life Insurance / Cocozza, Rosa; DI LORENZO, Emilia; Orlando, Albina; Sibillo, Marilena. - ELETTRONICO. - (2007), pp. 1-12. (Intervento presentato al convegno The 28th AFIR (Actuarial Approach for FInancial Risks) Colloquium tenutosi a Stockholm (SE) nel 13-15 June 2007).
Risk-adjusted Performance Indicators in Life Insurance
COCOZZA, ROSA;DI LORENZO, EMILIA;ORLANDO, ALBINA;SIBILLO, MARILENA
2007
Abstract
The paper approaches the potential of risk-adjusted performance indicators in life insurance, with special reference to a structured policy. The final issue is the computation of risk adjusted indicators as a tool to evaluate the portfolio given a policy structure. The computation of such indicator could be suitable for the appraisal of both portfolio optimization and potential profits of the structured policy. The selection tool is put into an asset and liability management decision making context, where the relationship between expected surplus and capital at risk are compared. The analysis is applied to a structured temporary annuity and is treated by means of Monte Carlo simulations.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
