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Equity allocation and portfolio selection in insurance

✍ Scribed by Erik Taflin

Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
179 KB
Volume
27
Category
Article
ISSN
0167-6687

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✦ Synopsis

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 ROEs, 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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