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Optimizing CPPI investment strategy for life insurance
assessed on realistic assumptions and dynamic strategies to mitigate the so-called ”gap risk”. Risk measurement;Portfolio ... measurement;Portfolio Management;Market risk;Investment risk;Investment strategy 6442484505 10/1/2018 12:00:00 ...- Authors: Saad Mouti, Aymeric Kalife
- Date: Oct 2018
- Competency: Results-Oriented Solutions>Assess decision effectiveness; Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Product Matters!
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Life Insurance>Product development - Life Insurance
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Optimizing CPPI Investment Strategy for Life Companies
Optimizing CPPI Investment Strategy for Life Companies Derives appropriate hedge ratios for ... and market dislocations (gap risk). value at risk;variable annuities;risk metrics;Dynamic simulation models ...- Authors: Aymeric Kalife, Saad Mouti
- Date: Aug 2018
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Risks & Rewards
- Topics: Annuities>Variable annuities; Finance & Investments>Portfolio management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments