Portfolio Optimization under Solvency Constraints: A Dynamical Approach

DOI10.1080/10920277.2014.910127zbMath1414.91328OpenAlexW3125539795MaRDI QIDQ5379126

Sujith Asanga, Steven Haberman, Alexandru V. Asimit, Alexandru M. Badescu

Publication date: 28 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/12173/1/AABH_NAAJ_Revision_March2014.pdf

zbMATH Keywords

portfolio optimizationruin probabilityconditional value-at-riskexpected policyholder deficit rationonlife insurance company

Mathematics Subject Classification ID

Related Items (3)

A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry ⋮ Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with conditional value-at-risk (CVaR) constraint ⋮ Bivariate regular variation among randomly weighted sums in general insurance

Cites Work

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• Conditional value-at-risk bounds for compound Poisson risks and a normal approximation
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• Portfolio Selection with Robust Estimation
• Risk Measures and Comonotonicity: A Review
• A Sample Approximation Approach for Optimization with Probabilistic Constraints
• Multivariate GARCH Models
• Modeling with Weibull-Pareto Models
• Convex Approximations of Chance Constrained Programs
• Standard approaches to asset & liability risk**
• Solvency
• Application of Coherent Risk Measures to Capital Requirements in Insurance

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