AFFI International Conference 2017

Full Program »

Optimal Asset-Liability Management of Issuers of Variable Annuities with Guarantees

View File

This article considers the optimal fund allocation for an insurance company that issues variable annuities with riders such as GMWBs. We analyze the problem from the point of view of the managers of the insurance company. We optimize with respect to two criteria: The utility of the profitability of the scheme, and also the level of asset-liability concordance. For the asset-liability management part of the criterion, we rely on a Redington type immunization where the duration of assets and liabilities should be matched and the convexity of the assets should be as high as possible in comparison to the convexity of the liabilities. The asset portfolio consists of stocks, bonds, and cash, and are modeled using diffusion process. The problem is solved using Hamilton-Jacobi-Bellman equations. Illustrations and discussions are provided.


Olivier Le Courtois    
EM Lyon Business School

Krzysztof Ostaszewski    
Illinois State University
United States

Li Shen    
EM Lyon Business School


Powered by OpenConf®
Copyright©2002-2016 Zakon Group LLC