@inbook{5d8f5c2225464128950ed5e851cb8923,
title = "Dynamic portfolio management for property and casualty insurance",
abstract = "Recent trends in the insurance sector have highlighted the expansion of large insurance firms into asset management. In addition to their historical liability risk exposure associated with statutory activity, the growth of investment management divisions has caused increasing exposure to financial market fluctuations. This has led to stricter risk management requirements as reported in the Solvency II 2010 impact studies by the European Commission. The phenomenon has far-reaching implications for the definition of optimal asset–liability management (ALM) strategies at the aggregate level and for capital required by insurance companies. In this chapter we present an ALM model which combines in a dynamic framework an optimal strategic asset allocation problem for a large insurer and property and casualty (P&C) business constraints and tests it in a real-world case study. The problem is formulated as a multistage stochastic program (MSP) and the definition of the underlying uncertainty model, including financial as well as insurance risk factors, anticipates the model{\textquoteright}s application under stressed liability scenarios. The benefits of a dynamic formulation and the opportunities arising from an integrated approach to investment and P&C insurance management are highlighted in this chapter.",
keywords = "Asset–liability management, Insurance liabilities, Multistage stochastic programming, Property and casualty insurance",
author = "Giorgio Consigli and {di Tria}, Massimo and Michele Gaffo and Gaetano Iaquinta and Vittorio Moriggia and Angelo Uristani",
note = "Funding Information: The authors acknowledge the support given by the research project PRIN2007 “Optimization of stochastic dynamic systems with applications to finance”, no. 20073BZ5A5, sci. resp. G. Consigli. The research has been partially supported by MIUR-ex60% 2008–2009, sci. resp. V. Moriggia. Publisher Copyright: {\textcopyright} Springer Science+Business Media, LLC 2011.",
year = "2011",
doi = "10.1007/978-1-4419-9586-5_5",
language = "British English",
series = "International Series in Operations Research and Management Science",
pages = "99--124",
booktitle = "International Series in Operations Research and Management Science",
}