English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools annual

Global: Zendy Free Plan

Global: Zendy Tools monthly

Global: Zendy Plus monthly

Starting from an original portfolio of life insurance policies, in this article we propose a methodology to select model points portfolios that reproduce the original one, preserving its market risk under a certain measure. In order to achieve this goal, we first define an appropriate risk functional that measures the market risk associated to the interest rates evolution. Although other alternative interest rate models could be considered, we have chosen the LIBOR (London Interbank Offered Rate) market model. Once we have selected the proper risk functional, the problem of finding the model points of the replicating portfolio is formulated as a problem of minimizing the distance between the original and the target model points portfolios, under the measure given by the proposed risk functional. In this way, a high-dimensional global optimization problem arises and a suitable hybrid global optimization algorithm is proposed for the efficient solution of this problem. Some examples illustrate the performance of a parallel multi-CPU implementation for the evaluation of the risk functional, as well as the efficiency of the hybrid Basin Hopping optimization algorithm to obtain the model points portfolio.

Global Optimization for Automatic Model Points Selection in Life Insurance Portfolios