search query: @author Li, S. / total: 17
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| Author: | Li, S. Huang, Z. |
| Title: | Determination of the portfolio selection for a property-liability insurance company |
| Journal: | European Journal of Operational Research
1996 : JAN 20, VOL. 88:2, p. 257-268 |
| Index terms: | OPERATIONAL RESEARCH OPTIMIZATION INVESTMENTS |
| Language: | eng |
| Abstract: | this paper presents an analysis of a portfolio model which can be used to assist a property-liability insurance company in determining the optimal composition of the insurance and investment portfolios. By introducing insurer's threshold risk and relaxing some non-realistic assumptions made in traditional chance constraint insurance and investment portfolio models, the authors propose a method for an insurer to maximize his return threshold for a given threshold risk level. A numerical example is given based on the industry's aggregated data for a sixteen year period. |
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