multi-objective stochastic optimization programs for a non-life insurance company under solvency constraints

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ID: 207548
2015
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Abstract
In the paper, we introduce a multi-objective scenario-based optimization approach for chance-constrained portfolio selection problems. More specifically, a modified version of the normal constraint method is implemented with a global solver in order to generate a dotted approximation of the Pareto frontier for bi- and tri-objective programming problems. Numerical experiments are carried out on a set of portfolios to be optimized for an EU-based non-life insurance company. Both performance indicators and risk measures are managed as objectives. Results show that this procedure is effective and readily applicable to achieve suitable risk-reward tradeoff analysis.
Reference Key
kaucic2015risksmulti-objective Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors ;Massimiliano Kaucic;Roberto Daris
Journal world neurosurgery
Year 2015
DOI
10.3390/risks3030390
URL
http://www.mdpi.com/2227-9091/3/3/390
Keywords Keywords not found

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