An insurance and investment portfolio model using chance constrained programming

An insurance and investment portfolio model is here formulated in terms of the ‘P-Models’ of Chance Constrained Programming, which is then related to the ‘satisficing concepts’ of Simon. For a given insurers' aspiration level of return on equity and risk levels of violating minimum requirements...

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Published in	Omega (Oxford) Vol. 23; no. 5; pp. 577 - 585
Main Author	Li, S.X.
Format	Journal Article
Language	English
Published	Exeter Elsevier Ltd 01.10.1995 Elsevier Pergamon Press Pergamon Press Inc
Series	Omega
Subjects	Applied sciences chance constrained programming Economic models Exact sciences and technology Insurance Investments Management science Mathematical programming modeling modeling optimization portfolio analysis chance constrained programming Operational research and scientific management Operational research. Management science optimization portfolio analysis Portfolio management Portfolio theory Property liability insurance Studies portfolio analysis modeling optimization chance constrained programming Stresses Insurance Finance Empirical method Portfolio management Modeling Optimization Investment Mathematical programming
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ISSN	0305-0483 1873-5274
DOI	10.1016/0305-0483(95)00019-K

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Abstract	An insurance and investment portfolio model is here formulated in terms of the ‘P-Models’ of Chance Constrained Programming, which is then related to the ‘satisficing concepts’ of Simon. For a given insurers' aspiration level of return on equity and risk levels of violating minimum requirements on return and on cash and liquid assets, we propose a method to maximize the insurers' probability of achieving their aspiration level, subject to two chance constraints and other regulatory and institutional constraints. An empirical example is given, based on the industry's aggregated data for a twenty year period.
AbstractList	An insurance and investment portfolio model is here formulated in terms of the ‘P-Models’ of Chance Constrained Programming, which is then related to the ‘satisficing concepts’ of Simon. For a given insurers' aspiration level of return on equity and risk levels of violating minimum requirements on return and on cash and liquid assets, we propose a method to maximize the insurers' probability of achieving their aspiration level, subject to two chance constraints and other regulatory and institutional constraints. An empirical example is given, based on the industry's aggregated data for a twenty year period. An insurance and investment portfolio model is formulated in terms of the P-Models of Chance Constrained Programming, which is then related to the satisficing concepts of Simon (1957). For a given insurers' aspiration level of return on equity and risk levels of violating minimum requirements on return and on cash and liquid assets, a method to maximize the insurers' probability of achieving their aspiration level is presented, which is subject to 2 chance constraints and other regulatory and institutional constraints.
Author	Li, S.X.
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Snippet	An insurance and investment portfolio model is here formulated in terms of the ‘P-Models’ of Chance Constrained Programming, which is then related to the... An insurance and investment portfolio model is here formulated in terms of the 'P-Models' of Chance Constrained Programming, which is then related to the... An insurance and investment portfolio model is formulated in terms of the P-Models of Chance Constrained Programming, which is then related to the satisficing...
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SubjectTerms	Applied sciences chance constrained programming Economic models Exact sciences and technology Insurance Investments Management science Mathematical programming modeling modeling optimization portfolio analysis chance constrained programming Operational research and scientific management Operational research. Management science optimization portfolio analysis Portfolio management Portfolio theory Property liability insurance Studies
Title	An insurance and investment portfolio model using chance constrained programming
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