Determination of the portfolio selection for a property-liability insurance company

DOI10.1016/0377-2217(94)00194-4zbMath0913.90080OpenAlexW2038028734MaRDI QIDQ1266588

Susan X. Li, Zhimin Huang

Publication date: 7 October 1998

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-2217(94)00194-4

zbMATH Keywords

chance constrained programmingportfolio modelproperty-liability insurance companythreshold risk

Mathematics Subject Classification ID

Related Items (10)

Quasiconcavity and nondominated solutions in multiobjective programming ⋮ Two new models for portfolio selection with stochastic returns taking fuzzy information ⋮ On chance maximization model in fuzzy random decision systems ⋮ Fuzzy chance-constrained portfolio selection ⋮ Uncertain programming models for portfolio selection with uncertain returns ⋮ Optimal investment with a constraint on ruin for a fuzzy discrete-time insurance risk model ⋮ A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns ⋮ Portfolio selection based on fuzzy cross-entropy ⋮ Mean-variance models for portfolio selection with fuzzy random returns ⋮ Stochastic models and variable returns to scales in data envelopment analysis

Cites Work

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• Proper efficiency and cardinal utilities in multicriteria decision making
• An approach to nonlinear programming
• Chance-Constrained Programming
• Risk, Return, Skewness and Preference
• Insurance Exposure and Investment Risks: An Analysis Using Chance-Constrained Programming
• An Application of Chance Constrained Programming to Portfolio Selection in a Casualty Insurance Firm

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