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Analyzing Firm Performance in the Insurance Industry Using Frontier Efficiency and Productivity Methods

Cummins, J David - 2014

the insurance industry. The objective is to provide the foundations for insurance economists to use in adapting their … efficiency and productivity measurement in insurance …

Persistent link: https://www.econbiz.de/10013066707

Optimal Robust Insurance with a Finite Uncertainty Set

Asimit, Alexandru Vali - 2019

Decision-makers who usually face model/parameter risk may prefer to act prudently by identifying optimal contracts that are robust to such sources of uncertainty. In this paper, we tackle this issue under a finite uncertainty set that contains a number of probability models that are candidates...

Persistent link: https://www.econbiz.de/10012900182

A large-scale optimization model for replicating portfolios in the life insurance industry

Adelmann, Maximilian; Fernandez-Arjona, Lucio; Mayer, János - In: Operations research 69 (2021) 4, pp. 1134-1157

Persistent link: https://www.econbiz.de/10012625163

Portfolio optimization under Solvency II : a multi-objective approach incorporating market views and real-world constraints

Di Francesco, Marco - In: Decisions in economics and finance : a journal of … 44 (2021) 1, pp. 269-294

Persistent link: https://www.econbiz.de/10012587842

A large-scale optimization model for replicating portfolios in the life insurance industry

Adelmann, Maximilian; Fernandez-Arjona, Lucio; Mayer, János - 2016

valuation of companies' liabilities. This paper presents a replicating portfolio (RP) model for approximating life insurance …Replicating portfolios have recently emerged as an important tool in the life insurance industry, used for the … liabilities as closely as possible. We minimize the L1 error between the discounted life insurance liability cash flows and the …

Persistent link: https://www.econbiz.de/10011515725

An Analysis of Reinsurance Optimisation in Life Insurance

Sherris, Michael - 2012

This paper considers optimal reinsurance based on an assessment of the reinsurance arrangements for a large life insurer. The objective is to determine the reinsurance structure, based on actual insurer data, using a modified mean-variance criteria that maximises the retained premiums and...

Persistent link: https://www.econbiz.de/10013108475

An Algorithm to Solve Nash Equilibrium

Choi, Hak - 2016

Nash (1951) claimed that every game must have a solution, even if it means a mixed strategy. His method is to find a probability that equalizes the two expected payoffs. Though simple, the calculation can be tedious. To avoid unnecessary mistake, this paper works out an algorithm to do the...

Persistent link: https://www.econbiz.de/10012999956

Optimal Risk Transfer : A Numerical Optimisation Approach

Asimit, Alexandru Vali - 2017

Capital efficiency and asset/liability management are part of the Enterprise Risk Management Process of any insurance …/reinsurance conglomerate and serve as quantitative methods to fulfill the strategic planning within an insurance organisation. There has been a … investigated together with a case study performed for an insurance group that aims capital efficiency across the entire …

Persistent link: https://www.econbiz.de/10012969012

Design of Optimal Bonus-Malus Systems with a Frequency and a Severity Component Using Finite Mixture Models

Tzougas, George - 2013

An optimal Bonus-Malus System (BMS) based on both the number of accidents and the severity of each accident was developed by Frangos and Vrontos (2001). In this paper we extend the work of Frangos and Vrontos (2001), Lemaire (1995) and Dionne and Vannasse (1989, 1992) using finite mixture...

Persistent link: https://www.econbiz.de/10013089477

Some Optimization and Decision Problems in Proportional Reinsurance

Castañer, Anna - 2014

the deficit at ruin if ruin occurs.We consider the classical risk theory model assuming a Poisson process and an …

Persistent link: https://www.econbiz.de/10013056296