Dynamic Portfolio Management for Property and Casualty Insurance

Consigli, Giorgio; Tria, Massimo Di; Gaffo, Michele; Iaquinta, Gaetano; Moriggia, Vittorio; Uristani, Angelo

doi:10.1007/978-1-4419-9586-5_5

Cited by 6 publications

(4 citation statements)

References 13 publications

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“…Later on, Mulvey's research on the Tower Perrin scenario generation system evolved into the well known Towers Perrin-Tillinghast ALM model, see Mulvey et al (2000). Recent and innovative formulations of the ALM problem are proposed in Consigli et al (2011); ; Consigli and Moriggia (2014).…”

Section: Introductionmentioning

confidence: 99%

“…Following this path, our aim is to propose an extension of the model proposed in Consigli et al (2017) which is based on the Property & Casualty insurance fund model described in Consigli et al (2011) and Consigli and Moriggia (2014). The first improvement is to enlarge the asset universe with a set of hedging contracts in the form of put options.…”

Section: Introductionmentioning

confidence: 99%

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Pension fund management with hedging derivatives, stochastic dominance and nodal contamination

Moriggia

Kopa²,

Vitali³

2019

Omega

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Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Pension fund management with hedging derivatives, stochastic dominance and nodal contamination

Moriggia

Kopa²,

Vitali³

2019

Omega

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“…Comprehensive collections are in Ziemba and Mulvey (1998) and Zenios and Ziemba (2006), Zenios and Ziemba (2007). More recent developments are in Kopa and Rusỳ (2020) that formulated an ALM model to tackle the consumer loan problem; in Consigli et al (2011), , Consigli and Moriggia (2014), and in Consigli et al (2017) that analysed a Property & Casualty insurance fund; and in other papers that discussed the pension fund from different point of view such as the issuer of the pension fund, see e.g Vitali et al (2017) and Devolder et al (2020), and the individual pension problem, see e.g. Consigli (2007), , Kopa et al (2018) and Consigli et al (2019).…”

Section: Introductionmentioning

confidence: 99%

Pension fund management with investment certificates and stochastic dominance

Vitali

Moriggia

2020

Ann Oper Res

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This paper considers an extension of the common asset universe of a pension fund to investment certificates. Investment certificates are a class of structured products particularly interesting for their special payoff structures and they are acquiring relevancy in the worldwide markets. In fact, some subclasses of certificates offer loss protection and show high liquidity and, thus, they can be very appreciated by pension fund managers. We consider the problem of a pension fund manager who has to implement an Asset and Liability Management model trying to achieve a long-term sustainability. Therefore, we formulate a multi-stage stochastic programming problem adopting a discrete scenario tree and a multi-objective function. We propose a technique to price highly structured products such as investment certificates on a discrete scenario tree. Finally, we solve the investment problem considering some investment certificate types both in term of payoff structure and protection level, and we test whether they are preferred or not to standard hedging contract such as put options. Moreover, we test the inclusion of first-order and second-order stochastic dominance constraints on multiple stages with respect to a benchmark portfolio. Numerical results show that the portfolio composition reacts to the inclusion of the stochastic dominance constraints, and that the optimal portfolio is efficiently able to reach several targets such as liquidity, returns, sponsor’s extraordinary contribution and funding gap.

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“…More recently, Mulvey et al (2006) suggests a multiperiod model to increase the understanding of the risks and rewards in a long-term horizon framework for pension plans and other long-term investors (see also Mulvey et al (2007) and Mulvey et al (2008)). An innovative formulation of the ALM problem is proposed in Consigli et al (2011), Consigli and di Tria (2012) and in Consigli and Moriggia (2014).…”

Section: Introductionmentioning

confidence: 99%

Optimal pension fund composition for an Italian private pension plan sponsor

2016

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We address the problem of a private pension plan sponsor who has to find the best pension funds for its members. Starting from a descriptive analysis of the pension plan members we identify a set of representative subscribers. Then, the optimal allocation for each representative will become a pension fund of the pension plan. For each representative, we propose a multistage stochastic program (MSP) which includes a multi-criteria objective function. The optimal choice is the portfolio allocation that minimizes the Average Value at Risk Deviation of the final wealth and satisfies a wealth target in the final stage and other constraints regarding pension plan regulations. Stochasticity arises from the investor's salary process and from asset returns. Numerical results show the optimal dynamic portfolios with respect to the investor's preferences and then the best pension funds the sponsor might offer.

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Dynamic Portfolio Management for Property and Casualty Insurance

Cited by 6 publications

References 13 publications

Pension fund management with hedging derivatives, stochastic dominance and nodal contamination

Pension fund management with hedging derivatives, stochastic dominance and nodal contamination

Pension fund management with investment certificates and stochastic dominance

Optimal pension fund composition for an Italian private pension plan sponsor

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