Equity Allocation and Portfolio Selection in Insurance: A simplified Portfolio Model
Optimization and Control
2007-05-23 v1 Probability
Abstract
A quadratic discrete time probabilistic model, for optimal portfolio selection in (re-)insurance is studied. For positive values of underwriting levels, the expected value of the accumulated result is optimized, under constraints on its variance and on annual ROE's. Existence of a unique solution is proved and a Lagrangian formalism is given. An effective method for solving the Euler-Lagrange equations is developed. The approximate determination of the multipliers is discussed. This basic model is an important building block for more complete models.
Cite
@article{arxiv.math/9907142,
title = {Equity Allocation and Portfolio Selection in Insurance: A simplified Portfolio Model},
author = {Erik Taflin},
journal= {arXiv preprint arXiv:math/9907142},
year = {2007}
}
Comments
31 pages, LaTeX2e