An insurance and investment portfolio model using chance constrained programming

An insurance and investment portfolio model is here formulated in terms of the ‘P-Models’ of Chance Constrained Programming, which is then related to the ‘satisficing concepts’ of Simon. For a given insurers' aspiration level of return on equity and risk levels of violating minimum requirements...

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Vydáno v:Omega (Oxford) Ročník 23; číslo 5; s. 577 - 585
Hlavní autor: Li, S.X.
Médium: Journal Article
Jazyk:angličtina
Vydáno: Exeter Elsevier Ltd 01.10.1995
Elsevier
Pergamon Press
Pergamon Press Inc
Edice:Omega
Témata:
Applied sciences
chance constrained programming
Economic models
Exact sciences and technology
Insurance
Investments
Management science
Mathematical programming
modeling
modeling optimization portfolio analysis chance constrained programming
Operational research and scientific management
Operational research. Management science
optimization
portfolio analysis
Portfolio management
Portfolio theory
Property liability insurance
Studies
portfolio analysis
modeling
optimization
chance constrained programming
Stresses
Insurance
Finance
Empirical method
Portfolio management
Modeling
Optimization
Investment
Mathematical programming
ISSN:0305-0483, 1873-5274
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Shrnutí:An insurance and investment portfolio model is here formulated in terms of the ‘P-Models’ of Chance Constrained Programming, which is then related to the ‘satisficing concepts’ of Simon. For a given insurers' aspiration level of return on equity and risk levels of violating minimum requirements on return and on cash and liquid assets, we propose a method to maximize the insurers' probability of achieving their aspiration level, subject to two chance constraints and other regulatory and institutional constraints. An empirical example is given, based on the industry's aggregated data for a twenty year period.
Bibliografie:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 14
ISSN:0305-0483
1873-5274
DOI:10.1016/0305-0483(95)00019-K