Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint

We present an optimization problem to determine the minimum capital requirement for a non-life insurance company. The optimization problem imposes a non-positive Conditional Value-at-Risk (CVaR) of the insurer’s net loss and a portfolio performance constraint. When expressing the optimization proble...

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Detalles Bibliográficos
Autores principales: Staino, Alessandro, Russo, Emilio, Costabile, Massimo, Leccadito, Arturo
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2023
Materias:
Original Paper
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9982813/
https://www.ncbi.nlm.nih.gov/pubmed/37520270
http://dx.doi.org/10.1007/s10287-023-00439-1

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9982813/
https://www.ncbi.nlm.nih.gov/pubmed/37520270
http://dx.doi.org/10.1007/s10287-023-00439-1

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