Filippo Della Casa and Michele Gaffo propose a new framework to run portfolio optimisation for life insurance business, by exporting the replicating portfolio technique from risk management to investment...
We consider portfolio management strategies where the investment style switches based on the value of a crisis indicator. A variety of strategies are considered in historical backtests on different data...
Arthur M. Berd General Quantitative LLC Welcome to the fall 2013 issue of The Journal of Investment Strategies. In this issue you will find four research papers that cover diverse topics: from fundamental...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
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in this sponsored feature, Andrew Melville, head of insurance product and strategy for Europe, the Middle East and Africa at Northern Trust, discusses the significant regulatory and investment pressures that, for many insurers, are placing the operational...
In this sponsored feature, Ross Evans and Emily Penn of the Insurance ALM Advisory team at RBS share some of the main observations from their annual review of the UK life sector
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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