The Value of Integrative Risk Management for Insurance Products with Guarantees

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 modelling—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. Associate Professor of Mathematical Finance, University of Calabria, Cosenza, IT. Director of Research and Senior Partner, Prometeia Calcolo, Bologna, IT. Professor and Director of the HERMES Center on Computational Finance & Economics, University of Cyprus, Nicosia, CY, and Senior Fellow, Financial Institutions Center, The Wharton School, Philadelphia, USA. [email protected]