Portfolio optimisation via replication

Filippo Della Casa and Michele Gaffo
31 Oct 2013

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The insurance industry is preparing itself for enabling a regular monitoring of the so-called economic balance sheet for steering purposes. The vast majority of insurance companies are currently developing their internal risk models in an attempt to obtain more transparency and efficiency in managing their risk exposures. Extremely volatile financial markets and the persistent low interest rate environment create an ever stronger need for frequent and sophisticated financial analysis

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