The Value of Integrative Risk Management for Insurance Products with Guarantees

  • Andrea Consiglio
  • Flavio Cocco
  • Stavros A. Zenios
Part of the Applied Optimization book series (APOP, volume 70)


Insurers increasingly offer policies that converge with the products of the capital markets and they face pressing needs 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.


Supply Chain Mutual Fund Excess Return Asset Allocation Downside Risk 
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Copyright information

© Springer Science+Business Media Dordrecht 2002

Authors and Affiliations

  • Andrea Consiglio
    • 1
  • Flavio Cocco
    • 2
  • Stavros A. Zenios
    • 3
    • 4
    • 5
  1. 1.University of PalermoPalermoItaly
  2. 2.Prometeia CalcoloBolognaItaly
  3. 3.University of CyprusCyprus
  4. 4.Cyprus International Institute of ManagementNicosiaCyprus
  5. 5.Financial Institutions CenterThe Wharton SchoolPhiladelphiaUSA

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