Next Article in Journal
The Financial Stress Index: Identification of Systemic Risk Conditions
Next Article in Special Issue
On the Joint Analysis of the Total Discounted Payments to Policyholders and Shareholders: Dividend Barrier Strategy
Previous Article in Journal
Supervising System Stress in Multiple Markets
Previous Article in Special Issue
Valuation of Index-Linked Cash Flows in a Heath–Jarrow–Morton Framework
Article Menu

Export Article

Open AccessArticle
Risks 2015, 3(3), 390-419; doi:10.3390/risks3030390

Multi-Objective Stochastic Optimization Programs for a Non-Life Insurance Company under Solvency Constraints

Department of Economics, Business, Mathematics and Statistics, University of Trieste, Piazzale Europa 1, 34127 Trieste, Italy
*
Author to whom correspondence should be addressed.
Academic Editor: Montserrat Guillen
Received: 16 July 2015 / Revised: 16 July 2015 / Accepted: 6 September 2015 / Published: 15 September 2015
View Full-Text   |   Download PDF [479 KB, uploaded 15 September 2015]   |  

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. View Full-Text
Keywords: multi-objective stochastic programming; performance indicators; chance constraint; normal constraint method; non-life insurance company multi-objective stochastic programming; performance indicators; chance constraint; normal constraint method; non-life insurance company
Figures

Figure 1

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

Scifeed alert for new publications

Never miss any articles matching your research from any publisher
  • Get alerts for new papers matching your research
  • Find out the new papers from selected authors
  • Updated daily for 49'000+ journals and 6000+ publishers
  • Define your Scifeed now

SciFeed Share & Cite This Article

MDPI and ACS Style

Kaucic, M.; Daris, R. Multi-Objective Stochastic Optimization Programs for a Non-Life Insurance Company under Solvency Constraints. Risks 2015, 3, 390-419.

Show more citation formats Show less citations formats

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Risks EISSN 2227-9091 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top