Equity allocation and portfolio selection in insurance

DOI10.1016/S0167-6687(99)00062-1zbMATH Open1017.91050arXivmath/9907160MaRDI QIDQ1584584FDOQ1584584

Erik Taflin

Publication date: 7 May 2002

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Abstract: A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both liabilities and assets, it is proved that the model has solutions respecting constraints on ROE's, ruin probabilities and market shares currently in practical use. Solutions define global and optimal risk management strategies of the company. Mathematical existence results and tools, such as the inversion of the linear part of the Euler-Lagrange equations, developed in a preceding paper in the context of a simplified model are essential for the mathematical and numerical construction of solutions of the model.

Full work available at URL: https://arxiv.org/abs/math/9907160

zbMATH Keywords

quadratic modelportfolio selectionnonlinear modelinsurancestochastic processrisk evaluationoptimization problem with constraintsequity allocation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Special processes (60K99)

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• Martingales and arbitrage in multiperiod securities markets
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• EQUITY ALLOCATION AND PORTFOLIO SELECTION IN INSURANCE: A SIMPLIFIED PORTFOLIO MODEL

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