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Open AccessArticle

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

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Department of Economics, Business, Mathematics and Statistics, University of Trieste, Piazzale Europa 1, 34127 Trieste, Italy
Academic Editor: Montserrat Guillen
Risks 2015, 3(3), 390-419; https://doi.org/10.3390/risks3030390
Received: 16 July 2015 / Revised: 16 July 2015 / Accepted: 6 September 2015 / Published: 15 September 2015
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
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Kaucic, M.; Daris, R. Multi-Objective Stochastic Optimization Programs for a Non-Life Insurance Company under Solvency Constraints. Risks 2015, 3, 390-419.

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