Insurance League: Italy vs. UK (2003)
Andrea Consiglio, David Saunders, Stavros A. Zenios
Insurance companies have been turning to innovative products in order to attract clients who are seeking, today, integration of their actuarial risks with financial risks. Products with guaranteed...
Non-Gaussian Distribution For Var (2002)
Andrea Consiglio, Ivar Massabo, Sergio Ortobelli
In this paper we compare di#erent approaches to compute VaR for heavy tailed return series. Using data from the Italian market, we show that almost all the return series present statistically...
Scenario Optimization Asset and Liability (2002)
Andrea Consiglio, Flavio Cocco, Stavros A. Zenios
We develop a scenario optimization model for asset and liability management of individual investors. The individual has a given level of initial wealth and a target goal to be reached within some...
www.Personal Asset Allocation (2002)
Andrea Consiglio, Flavio Cocco, Stavros A. Zenios
Today consumers are demanding anytime-anywhere delivery of financial services, while demonstrating a rapid evolution of their needs and desires. At the same time the World Wide Web provides a rich...
Asset and Liability Modeling for Participating Policies with Guarantees (2002)
Andrea Consiglio, Flavio Cocco, Stavros A. Zenios
We study the problem of asset and liability management of participating insurance policies with guarantees. We develop a scenario optimization model for integrative asset and liability management,...
Asset and Liability Modeling for Participating Policies with Guarantees (2001)
Franklin Allen, Richard J. Herring, Andrea Consiglio, Flavio Cocco, Stavros A. Zenios
We study the problem of asset and liability management of participating insurance policies with guarantees. We develop a scenario optimization model for integrative asset and liability management,...
Scenario Modeling for the Management of International Bond Portfolios
Andrea Beltratti, Andrea Consiglio, Stavros A. Zenios
We address the problem of portfolio management in the international bond markets. Interest rate risk in the local market, exchange rate volatility across markets, and decisions for hedging currency...
Financial Products with Guarantees: Applications, Models and Internet-based services
Andrea Consiglio, Stavros A. Zenios
Endowments with a minimum guaranteed rate of return appear in insurance policies, pension plans and social security plans. In several cases, especially in the insurance industry, such endowments also...
Evaluation of insurance products with guarantee in incomplete markets
Consiglio, Andrea, De Giovanni, Domenico
Life insurance products are usually equipped with minimum guarantee and bonus provision options. The pricing of such claims is of vital importance for the insurance industry. Risk management,...
The Value of Integrative Risk Management for Insurance Products with Guarantees
Andrea Consiglio, Flavio Cocco, Stavros A. Zenios
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...
Asset and Liability Modeling for Participating Policies with Guarantees
Andrea Consiglio, Flavio Cocco, Stavros A. Zenios
We study the problem of asset and liability management of participating insurance policies with guarantees. We develop a scenario optimization model for integrative asset and liability management,...
Pricing the Option to Surrender in Incomplete Markets
Consiglio, Andrea, De Giovanni, Domenico
New international accounting standards require insurers to reflect the value of embedded options and guarantees in their products. Pric- ing techniques based on the Black & Scholes paradigm are often...