Eingebettete Optionen - Die Replikation eingebetteter Optionen
Die Versicherungsgesellschaften haben viel in stochastische Modelle investiert. Als nächstes sollen diese Modelle tiefer in die Prozesse des Asset-Liability-Managements eingebettet werden. Die Autoren empfehlen für diesen Zweck das Replikationsportfolio als leistungsfähiges Werkzeug
Einleitung
Heute ist die zentrale Rolle des Management der in Lebensversicherungen eingebetteten Optionen und Garantien beim Asset-Liability-Management (ALM) der Versicherungsgesellschaften weitgehend anerkannt. In diesem Bereich hat die Branche ihre Fähigkeiten in den letzten Jahren deutlich verbessert. Die Studie des CRO-Forums zum Thema "Financial Risk Mitigation" (CRO-Forum, 2006) zeigte auf, dass die Branchenansätze in diesem Bereich konvergieren und verlangt von den Aufsichtsbehörden
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