557

Portfolio replication is not only about capital

It's not just group risk that can benefit from the use of replicating portfolios. Other areas of an insurance company such as liability product design, market risk monitoring and performance measurement in investment management will also find the approach valuable, as Rudi Damhuis, Nidal Shamroukh and Andrew Waters of Algorithmics explain.

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Developing an Insurance Scenario Generator

This involves generating risk drivers with a specific impact in insurance companies and then modelling their impact on different risks. Hannes Janse van Rensburg of Watson Wyatt elaborates.