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Asset allocation and liquidity breakdowns: what

✍ Scribed by Peter Diesinger; Holger Kraft; Frank Seifried

Publisher
Springer-Verlag
Year
2009
Tongue
English
Weight
782 KB
Volume
14
Category
Article
ISSN
0949-2984

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In this article we use a generalized newsvendor model to determine the optimal liquid asset allocation for insurance risks by an insurance firm. The model studied uses a power function for the liquidation costs. In the case of quadratic liquidation costs, we investigate the impact of risk-pooling an