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Portfolio selection by Austrian insurance companies

โœ Scribed by Klaus Neusser

Publisher
Springer US
Year
1985
Tongue
English
Weight
771 KB
Volume
12
Category
Article
ISSN
0340-8744

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๐Ÿ“œ SIMILAR VOLUMES

Equity allocation and portfolio selectio
Equity allocation and portfolio selection in insurance
โœ Erik Taflin ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 179 KB

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 solutio