FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W3033940755> ?p ?o ?g. }

• W3033940755 abstract "The practice of portfolio replication has proven its applicability to market risk management in complete markets through the appropriate modeling of a range of non-linear financial instruments. Replicating portfolios provide an intuitive and operational framework for explaining financial risks of life insurance companies as financial instruments with analytical formula encompassing instruments’ non-linearities, path dependency and specific sensitivities capture financial risks. Carrying out the market risk calculation for life insurance companies requires the replicating portfolio technique as the plan calculation referred to as ‘stochastic in stochastic’ requires immense computational power. For each of the real-world scenarios, the market-consistent values of assets and liabilities on the basis of the replicating portfolio technique are therefore determined. This article presents an enhanced replicating portfolio framework that is of utmost importance for the generation of market risk capital requirements applied to life insurance portfolios embedding options and guarantees. While the classic replication technique requires approximations and expert judgments as there is no clear-cut, easy answer for finding an optimal replicating portfolio providing a superior replication power (i.e. a portfolio composed of a finite number of financial vanilla instruments in an arbitrage-free context out of which the cash-flows best replicate the magnitude and timing of liabilities over the projection term), the proposed approach relies on a formalized framework that leads to build optimal replicating portfolios for participating life insurance business. This paper derives the principles behind the portfolio replication technique and provides explanations and justifications on the parameterization of replicating portfolios via a practical application case. The approach adopted is a hybrid model that combines a 'pure' portfolio replication technique and the curve fitting approach. As a result, the quality of replicating portfolios in extreme capital market environments is tested by means of a comparison with the results of a brute force revaluation incorporating a large range of sensitivities such as EEV, QIS 5 and extreme scenario (close to the economic capital driven scenario) sensitivities. In order to determine the weights of financial instruments, the ordinary least square technique is used to find the best possible portfolio composition that replicates liability cash flows in several market conditions at either the present or terminal value of the projection. Additional enhancement techniques such as a particular adjustment within the singular value decomposition and a scenario filter are introduced to better fit the weights of selected instruments with liability moves. An example of calibration strategy that leads to an optimal replicating portfolio is broadly described in this paper." @default.
• W3033940755 created "2020-06-12" @default.
• W3033940755 creator A5083549116 @default.
• W3033940755 date "2011-01-01" @default.
• W3033940755 modified "2023-09-25" @default.
• W3033940755 title "A Formalized Hybrid Portfolio Replication Technique Applied to Participating Life Insurance Portfolios" @default.
• W3033940755 doi "https://doi.org/10.2139/ssrn.1964464" @default.
• W3033940755 hasPublicationYear "2011" @default.
• W3033940755 type Work @default.
• W3033940755 sameAs 3033940755 @default.
• W3033940755 citedByCount "3" @default.
• W3033940755 countsByYear W30339407552014 @default.
• W3033940755 countsByYear W30339407552016 @default.
• W3033940755 crossrefType "journal-article" @default.
• W3033940755 hasAuthorship W3033940755A5083549116 @default.
• W3033940755 hasConcept C10138342 @default.
• W3033940755 hasConcept C105795698 @default.
• W3033940755 hasConcept C12590798 @default.
• W3033940755 hasConcept C151730666 @default.
• W3033940755 hasConcept C15952604 @default.
• W3033940755 hasConcept C162118730 @default.
• W3033940755 hasConcept C162324750 @default.
• W3033940755 hasConcept C187736073 @default.
• W3033940755 hasConcept C202655437 @default.
• W3033940755 hasConcept C21099588 @default.
• W3033940755 hasConcept C2779343474 @default.
• W3033940755 hasConcept C2780821815 @default.
• W3033940755 hasConcept C3020299011 @default.
• W3033940755 hasConcept C33923547 @default.
• W3033940755 hasConcept C41008148 @default.
• W3033940755 hasConcept C73938075 @default.
• W3033940755 hasConcept C74510933 @default.
• W3033940755 hasConcept C86803240 @default.
• W3033940755 hasConceptScore W3033940755C10138342 @default.
• W3033940755 hasConceptScore W3033940755C105795698 @default.
• W3033940755 hasConceptScore W3033940755C12590798 @default.
• W3033940755 hasConceptScore W3033940755C151730666 @default.
• W3033940755 hasConceptScore W3033940755C15952604 @default.
• W3033940755 hasConceptScore W3033940755C162118730 @default.
• W3033940755 hasConceptScore W3033940755C162324750 @default.
• W3033940755 hasConceptScore W3033940755C187736073 @default.
• W3033940755 hasConceptScore W3033940755C202655437 @default.
• W3033940755 hasConceptScore W3033940755C21099588 @default.
• W3033940755 hasConceptScore W3033940755C2779343474 @default.
• W3033940755 hasConceptScore W3033940755C2780821815 @default.
• W3033940755 hasConceptScore W3033940755C3020299011 @default.
• W3033940755 hasConceptScore W3033940755C33923547 @default.
• W3033940755 hasConceptScore W3033940755C41008148 @default.
• W3033940755 hasConceptScore W3033940755C73938075 @default.
• W3033940755 hasConceptScore W3033940755C74510933 @default.
• W3033940755 hasConceptScore W3033940755C86803240 @default.
• W3033940755 hasLocation W30339407551 @default.
• W3033940755 hasOpenAccess W3033940755 @default.
• W3033940755 hasPrimaryLocation W30339407551 @default.
• W3033940755 hasRelatedWork W1578326042 @default.
• W3033940755 hasRelatedWork W1578667886 @default.
• W3033940755 hasRelatedWork W1794486142 @default.
• W3033940755 hasRelatedWork W1977631704 @default.
• W3033940755 hasRelatedWork W2064067368 @default.
• W3033940755 hasRelatedWork W2089896711 @default.
• W3033940755 hasRelatedWork W2128339078 @default.
• W3033940755 hasRelatedWork W2188574378 @default.
• W3033940755 hasRelatedWork W2189247414 @default.
• W3033940755 hasRelatedWork W2246640394 @default.
• W3033940755 hasRelatedWork W2328123765 @default.
• W3033940755 hasRelatedWork W2602586931 @default.
• W3033940755 hasRelatedWork W2759931203 @default.
• W3033940755 hasRelatedWork W2950757745 @default.
• W3033940755 hasRelatedWork W2954753669 @default.
• W3033940755 hasRelatedWork W3008563245 @default.
• W3033940755 hasRelatedWork W3081900971 @default.
• W3033940755 hasRelatedWork W3118117791 @default.
• W3033940755 hasRelatedWork W3125007386 @default.
• W3033940755 hasRelatedWork W3196933557 @default.
• W3033940755 isParatext "false" @default.
• W3033940755 isRetracted "false" @default.
• W3033940755 magId "3033940755" @default.
• W3033940755 workType "article" @default.