Equity Allocation and Portfolio Selection in Insurance: A simplified Portfolio Model

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dc.creatorTaflin, Erik
dc.date1999-07-22
dc.date.accessioned2026-07-07T05:29:59Z
dc.date.available2026-07-07T05:29:59Z
dc.descriptionA 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.
dc.description31 pages, LaTeX2e
dc.identifierhttps://arxiv.org/abs/math/9907142
dc.identifierhttp://arxiv.org/abs/math/9907142
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/78859
dc.subjectOptimization and Control
dc.subjectProbability
dc.subject90Axx; 49xx; 60Gxx
dc.titleEquity Allocation and Portfolio Selection in Insurance: A simplified Portfolio Model
dc.typetext

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