Cargando…
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...
| Autores principales: | , , , |
|---|---|
| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Berlin Heidelberg
2023
|
| Materias: | |
| 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 |