Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection

✍ Scribed by Koen Van Weert; Jan Dhaene; Marc Goovaerts

• Publisher: Elsevier Science
• Year: 2011
• Tongue: English
• Weight: 284 KB
• Volume: 235
• Category: Article
• ISSN: 0377-0427
• DOI: 10.1016/j.cam.2011.01.012

✦ Synopsis

In this paper we discuss multiperiod portfolio selection problems related to a specific provisioning problem. Our results are an extension of Dhaene et al. (2005) [14], where optimal constant mix investment strategies are obtained in a provisioning and savings context, using an analytical approach based on the concept of comonotonicity. We derive convex bounds that can be used to estimate the provision to be set up at a specified time in future, to ensure that, after having paid all liabilities up to that moment, all liabilities from that moment on can be fulfilled, with a high probability.