Applying simulation optimization to the asset allocation of a property-casualty insurer

DOI10.1016/J.EJOR.2010.04.012zbMath1205.91167OpenAlexW2048085933MaRDI QIDQ992636

Hsiao-Tzu Huang, Chenghsien Tsai, Tzu-Yi Yu

Publication date: 9 September 2010

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2010.04.012

zbMATH Keywords

optimizationsimulationevolution strategiesproperty-casualty insuranceasset allocation

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (3)

Genetic-algorithm-based simulation optimization considering a single stochastic constraint ⋮ Coupling a memetic algorithm to simulation models for promising multi-period asset allocations ⋮ Risk- and value-based management for non-life insurers under solvency constraints

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Asset and liability management under a continuous-time mean-variance optimization framework
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Strategic asset allocation
• Optimization via simulation: A review
• A Theory of the Term Structure of Interest Rates
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