One of the main sources of an insurance company’s volatility exposure comes from with-profit funds with embedded guarantees. Deutsche Bank has been helping insurance clients manage this volatility through reshaping their asset portfolios.
Tom Leake, London-based director of equity structuring at Deutsche Bank, says: “With the guarantee, the insurer has effectively written a put option on the assets backing that guarantee. One of the risk management techniques is to find a portfolio of replicatin
The week on Risk.net, December 9–15 2017Receive this by email