Insurance liabilities are converging with capital markets products (e.g. derivatives and securitizations), thereby increasing the demand for integrated asset and liability management strategies. This article compares the value‐added by an integrative approach‐based on scenario optimization...

Tails probabilities are of paramount importance in shaping the risk profile of portfolios with credit risk sensitive securities. In this context, risk management tools require simulations that accurately capture the tails, and optimization models that limit tail effects. Ignoring tail events in...