A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry

Published Online:https://doi.org/10.1287/opre.2020.2098

References

  • Bektas S , Sisman Y (2010) The comparison of L 1 and L 2 minimization methods. Internat. J. Phys. Sci. 5(11):1721–1727.Google Scholar
  • Bishop C (2007) Pattern Recognition and Machine Learning, Information Science and Statistics, 1st ed. (Springer-Verlag, New York).Google Scholar
  • Bloomfield P , Steiger W (1983) Least Absolute Deviations: Theory, Applications, and Algorithms, Progress in Probability and Statistics, vol. 6 (Birkhauser, Boston).Google Scholar
  • Boekel P , van Delft L , Hoshino T , Ino R , Reynolds C , Verheugen H (2009) Replicating portfolios: An introduction: Analysis and illustrations. Milliman Research Report, Milliman, Seattle.Google Scholar
  • Boyle P , Hardy M (2003) Guaranteed annuity options. ASTIN Bull.: J. IAA 33(2):125–152.CrossrefGoogle Scholar
  • Burmeister C , Mausser H (2009) Using trading restrictions in replicating portfolios. Life & Pensions Magazine (November), 36–40.Google Scholar
  • Burmeister C , Mausser H , Romanko O (2010) Using trading costs to construct better replicating portfolios. Enterprise Risk Management Sympos. Monograph (Society of Actuaries, Schaumburg, IL).Google Scholar
  • Cambou M , Filipovic D (2016) Replicating portfolio approach to capital calculation.Swiss Finance Institute Research Paper No. 16-25. Preprint, submitted April 13, https://dx.doi.org/10.2139/ssrn.2763733.Google Scholar
  • Chen W , Skoglund J (2012) Cashflow replication with mismatch constraints. J. Risk 14(4):115–128.Google Scholar
  • Daul S , Gutiérrez Vidal E (2009) Replication of insurance liabilities. RiskMetrics J . 9(1):76–96.Google Scholar
  • Devineau L , Chauvigny M (2011) Replicating portfolios: Calibration techniques for the calculation of the Solvency II economic capital. Bull. Français d’Actuariat . 11(21):59–97.Google Scholar
  • Fabozzi FJ (2008) Handbook of Finance , vol. I–III (John Wiley & Sons, Inc., Hoboken, NJ).CrossrefGoogle Scholar
  • Fabozzi FJ , Buetow GW (2008a) Interest rate swaps. Fabozzi F , ed. Handbook of Finance , vol. I (John Wiley & Sons, Inc., Hoboken, NJ), https://doi.org/10.1002/9780470404324.hof001044.CrossrefGoogle Scholar
  • Fabozzi FJ , Buetow GW (2008b) Valuing swaptions. Fabozzi F , ed. Handbook of Finance , vol. III (John Wiley & Sons, Inc., Hoboken, NJ), https://doi.org/10.1002/9780470404324.hof003045.CrossrefGoogle Scholar
  • Feinstein CD , Thapa MN (1993) A reformulation of a mean-absolute deviation portfolio optimization model. Management Sci. 39(12):1552–1553.LinkGoogle Scholar
  • Feng R , Cui Z , Li P (2016) Nested Stochastic Modeling for Insurance Companies (Society of Actuaries).Google Scholar
  • Fouque JP , Papanicolaou G , Sircar KR (2000) Derivatives in Financial Markets with Stochastic Volatility (Cambridge University Press, New York).Google Scholar
  • Friedman J , Hastie T , Tibshirani R (2001) The Elements of Statistical Learning , Springer Series in Statistics, vol. 1 (Springer, New York).Google Scholar
  • Jacobs BI , Levy KN , Markowitz HM (2005) Portfolio optimization with factors, scenarios, and realistic short positions. Oper. Res. 53(4):586–599.LinkGoogle Scholar
  • Jacobs BI , Levy KN , Markowitz HM (2006) Trimability and fast optimization of long-short portfolios. Financial Anal. J. 62(2):36–46.CrossrefGoogle Scholar
  • Jorion P (2000) Risk management lessons from long-term capital management. Eur. Financial Management 6(3):277–300.CrossrefGoogle Scholar
  • Konno H , Yamazaki H (1991) Mean-absolute deviation portfolio optimization model and its application to Tokyo stock market. Management Sci. 37(5):519–531.LinkGoogle Scholar
  • Koursaris A (2011) A primer in replicating portfolios. Barrie & Hibbert Insights, July 2011.Google Scholar
  • Longstaff FA , Schwartz ES (2001) Valuing American options by simulation: A simple least-squares approach. Rev. Financial Stud. 14(1):113–147.CrossrefGoogle Scholar
  • Natolski J , Werner R (2014) Mathematical analysis of different approaches for replicating portfolios. Eur. Actuarial J. 4(2):411–435.CrossrefGoogle Scholar
  • Oechslin J , Aubry O , Aellig M , Kappeli A , Bronnimann D , Tandonnet A , Valois G (2007) Replicating embedded options. Life & Pensions Risk Magazine (February), 47–52.Google Scholar
  • Pelsser A (2003) Pricing and hedging guaranteed annuity options via static option replication. Insurance Math. Econom. 33(2):283–296.CrossrefGoogle Scholar
  • Porteous BT , Tapadar P (2008) The impact of capital structure on economic capital and risk adjusted performance. Astin Bull. 38(01):341–380.CrossrefGoogle Scholar
  • Rice JR , White JS (1964) Norms for smoothing and estimation. SIAM Rev. 6(3):243–256.CrossrefGoogle Scholar
  • Rudolf M , Wolter H-J , Zimmermann H (1999) A linear model for tracking error minimization. J. Banking Finance 23(1):85–103.CrossrefGoogle Scholar
  • Schrager D (2008) Replicating portfolios for insurance liabilities. Aenorm . 59:57–61.Google Scholar
  • Seemann A (2009) Replizierende portfolios in der Lebensversicherung. Working paper, University of Ulm, Ulm, Germany.Google Scholar
  • Zurich Insurance Group (2017) Zurich Insurance Group, Annual Report 2016.Google Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.