IDEAS home Printed from https://ideas.repec.org/p/hal/cesptp/hal-00665516.html
   My bibliography  Save this paper

Optimal Economic Capital and Investment: Decisions for a Non-life Insurance Company

Author

Listed:
  • Catherine Bruneau

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

  • Sélim Mankai

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper focuses on the optimal program of a non life insurance company which maximizes an expected risk ajusted return on capital (RAROC) criterium under a conditional value at risk (CVaR) shortfall constraint, by simultaneously choosing the best allocation of her portfolio and the best level of her capital. A solution is provided by refering to the framework of Concave Convex Fractional programs ( CCFP). The risk the company is facing with jointly comes from the financial assets and from the potential losses, whose dependence structure is taken into account through copulas. The methodology is applied to real data of a French non life insurance company. Using Monte Carlo simulations, we determine the optimal solution and we implement sensitivity analyses.

Suggested Citation

  • Catherine Bruneau & Sélim Mankai, 2012. "Optimal Economic Capital and Investment: Decisions for a Non-life Insurance Company," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00665516, HAL.
    • Handle: RePEc:hal:cesptp:hal-00665516
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Alessandro Staino & Emilio Russo & Massimo Costabile & Arturo Leccadito, 2023. "Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint," Computational Management Science, Springer, vol. 20(1), pages 1-32, December.
    2. Massimiliano Kaucic & Roberto Daris, 2015. "Multi-Objective Stochastic Optimization Programs for a Non-Life Insurance Company under Solvency Constraints," Risks, MDPI, vol. 3(3), pages 1-30, September.

    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:hal:cesptp:hal-00665516. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    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.