Διαχείριση χαρτοφυλακίου ασφαλιστηρίων ζωής
A life annuity portfolio and its risk sources
Διαμαντόπουλος, Σταύρος Δ.
SubjectΑσφάλεια ζωής ; Ασφαλιστικές εταιρείες ; Κίνδυνος (Ασφάλεια) ; Life insurance -- Finance ; Insurance companies -- Finance ; Insurance companies -- Investments ; Risk (Insurance) ; Portfolio management
In this work the way in which life insurance companies manage their portfolio will be studied. The liability of insurance comprises life insurance contracts and assets consisting of other investments. Specifically, a model for a homogeneous portfolio by analyzing two risk factors, the investment risk and the insurance risk will be considered. A stochastic model of the rate of return, in order to study the insurance and the investment risk will be presented. Measure of the above risks of the homogenous portfolio will be considered, and the issue of the longevity risk of the insurance companies will also be discussed. Applications and illustrations are given, showing the robustness of the above stochastic model in terms of the number of policies in the homogenous portfolio. Finally, conclusions and remarks concerning the control of the overall risk of the companies are also given.