A Conditional Value–at–Risk Model for Insurance Products with Guarantee

摘要

We propose a model to select the optimal portfolio whichudunderlies insurance policies with a guarantee. The objective function isuddefined in order to minimise the conditional value-at-risk (CVaR) of theuddistribution of the losses with respect to a target return. We add operationaludand regulatory constraints to make the model as flexible as possible whenudused for real applications. We show that the integration of the asset andudliability side yields superior performances with respect to naive fixed-mixudportfolios and asset based strategies.We validate the model on out-of-sampleudscenarios and provide insights on policy design.