A0214
Title: Modelling and portfolio optimization with sustainable assets
Authors: Ralf Korn - TU Kaiserslautern (Germany) [presenting]
Abstract: Investment in sustainable assets is an attractive opportunity as it allows the shaping of own future, both in wealth and quality of living. As life insurers already offer products with sustainability ingredients, the focus is on their possibilities to manage sustainability risks. In particular, various portfolio problems are solved under sustainability constraints explicitly and suggest further research topics. As a special feature for a life insurer, the role of the actuarial reserve fund and the annual declaration of its return are particularly looked at. Possible new product ideas will also be discussed.
