RESEARCH

We emphasize and encourage links between academic researchers and practitioners at financial institutions to bring theoretical techniques to bear on realworld issues.

Risk Management Best Practice

Title

Hedging and Risk-Return Frontier in Insurance: an ALM Perspective

Summary:

Asset-Liability Management (ALM) attempts to manage the underlying risk from mismatches between assets and liabilities that arise from fluctuations in the financial landscape. This project creates an ALM strategy for insurance companies that will account for demographic and financial risk while controlling for model risk. This novel approach separates financial and traditional actuarial risks as it incorporates how the hedging of longevity risk, and therefore changing the liabilities mix, affects asset management choices and the exposure to financial risk.

 

 

university

University:  University of Torino
Project Lead: Elisa Luciano 

publications and links

 

   
   

Lead Researcher

 Lead Researcher 

 

Elisa Luciano

Elisa Luciano is a Professor of Finance at the University of Torino’s School of Economics. She is a Senior Fellow at the Collegio Carlo Alberto, a Fellow at NETSPAR and an Associate Fellow at the Financial Econometrics Research Center (FERC). Elisa holds a Ph.D. in Applied Mathematics from the University of Trieste. Her research focus is on quantitative finance.