IDEAS home Printed from https://ideas.repec.org/a/rjr/romjef/v5y2008i1p102-118.html
   My bibliography  Save this article

On Insurer Portfolio Optimization. An Underwriting Risk Model

Author

Listed:
  • Preda, Vasile

    (Ph.D. Prof. and CP1, University of Bucharest, Faculty of Mathematics and Computer Science and the National Institute for Economic Research (INCE))

  • Ciumara, Roxana

    (Department for Mathematics, Academy of Economic Studies)

Abstract

Multicriteria portfolio optimization started with the Markowitz mean-variance model (Markowitz 1952, 1959). This model assumes that the goal of an average or standard investor is to maximize the unknown return on investment. In this paper we propose a risk model related to insurance industry. The optimality criteria we propose for insurer’s portfolio optimization are based on the well-known Markowitz model, yet imposing scalarization on the components of the objective function.

Suggested Citation

  • Preda, Vasile & Ciumara, Roxana, 2008. "On Insurer Portfolio Optimization. An Underwriting Risk Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 5(1), pages 102-118, March.
    • Handle: RePEc:rjr:romjef:v:5:y:2008:i:1:p:102-118
    as

    Download full text from publisher

    File URL: http://www.ipe.ro/rjef/rjef1_08/rjef1_08_8.html
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Schnieper, René, 2000. "Portfolio Optimization," ASTIN Bulletin, Cambridge University Press, vol. 30(1), pages 195-248, May.
    2. Morita, Hiroshi & Ishii, Hiroaki & Nishida, Toshio, 1989. "Stochastic linear knapsack programming problem and its application to a portfolio selection problem," European Journal of Operational Research, Elsevier, vol. 40(3), pages 329-336, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Kull, Andreas, 2009. "Sharing Risk – An Economic Perspective," ASTIN Bulletin, Cambridge University Press, vol. 39(2), pages 591-613, November.
    2. Ehrgott, Matthias & Klamroth, Kathrin & Schwehm, Christian, 2004. "An MCDM approach to portfolio optimization," European Journal of Operational Research, Elsevier, vol. 155(3), pages 752-770, June.

    More about this item

    Keywords

    portfolio optimization; underwriting risk; scalarization.;
    All these keywords.

    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rjr:romjef:v:5:y:2008:i:1:p:102-118. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Corina Saman (email available below). General contact details of provider: https://edirc.repec.org/data/ipacaro.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.