Insurance Risk - urn:uuid:incisivemedia:insurancerisk:november:production

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Portfolio optimisation via replication

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 management. In particular, they develop a new risk…

The economic view

Insurers are using the delays to Solvency II to improve their economic capital models

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