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Optimizing Replicating Portfolios for the Life Insurance Industry

Optimizing Replicating Portfolios for the Life Insurance Industry

AuthorK. Schmedders, M. Adelmann, L. Fernandez Arjona, J. Mayer
Date03 Oct. 2016
CategoryRoundups
Optimizing Replicating Portfolios for the Life Insurance Industry

In life insurance, replicating portfolios (RPs) serve multiple purposes including compliance with Solvency II. A new paper reveals how one major insurer has made one particular RP optimization approach an integral part of its risk management efforts.

 

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