درباره مدیریت ریسک شرکت بیمه عمر با انتخاب استراتژیک ترکیب محصول، استراتژی سرمایه گذاری و طرح های تخصیص مازاد

The aim of this paper is to analyze the impact of management’s strategic choice of asset and liability composition in life insurance on shortfall risk and the shareholders’ fair risk charge. In contrast to previous work, we focus on the effectiveness of management decisions regarding the product mix and the riskiness of the asset side under different surplus appropriation schemes. We propose a model setting that comprises temporary life annuities and endowment insurance contracts. Our numerical results show that the effectiveness of management decisions in regard to risk reduction strongly depends on the surplus appropriation scheme offered to the customer and their impact on guaranteed benefit payments, which thus presents an important control variable for the insurer.