Global optimization for model points automatic selection in life insurance portfolios, May 2019

Ana M. Ferreiro, Enrico Ferri, José A. García-Rodríguez, Carlos Vázquez: This work deals with the automatic selection of model points portfolios of life insurance policies that reproduce the original portfolio, in the sense that they retain the market risk properties of the initial portfolio. In order to achieve this goal, we first propose a risk functional that incorporates the uncertain evolution of forward LIBOR rates to the portfolios of life insurance policies.