Equity allocation and portfolio selection in insurance

DOI10.1016/S0167-6687(99)00062-1MaRDI QIDQ1584584zbMATH OpenFDO

Authors Erik Taflin

Publication date 7 May 2002

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

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)

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.

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Cites work

• scientific article; zbMATH DE number 3868302 (Why is no real title available?)
• scientific article; zbMATH DE number 4060392 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
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• scientific article; zbMATH DE number 3399886 (Why is no real title available?)
• EQUITY ALLOCATION AND PORTFOLIO SELECTION IN INSURANCE: A SIMPLIFIED PORTFOLIO MODEL
• Martingales and arbitrage in multiperiod securities markets

Cited in

(1)

• EQUITY ALLOCATION AND PORTFOLIO SELECTION IN INSURANCE: A SIMPLIFIED PORTFOLIO MODEL

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