Lucio Fernandez Arjona

Zurich Insurance Group

P.O. Box

Mythenquai 2

Z├╝rich, 8022

Switzerland

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Scholarly Papers (1)

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

Swiss Finance Institute Research Paper No. 16-04
Number of pages: 44 Posted: 04 Feb 2016
Maximilian Adelmann, Lucio Fernandez Arjona, Janos Mayer and Karl Schmedders
University of Zurich, Students, Zurich Insurance Group, University of Zurich - Institute of Business Administration and University of Zurich
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Abstract:

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Insurance regulation; liability cash flows; linear programming; out-of-sample tests; replicating portfolios; Solvency II