Applied

Optimal Investment for an Insurance Company

Speaker: 
Alexandru Badescu
Date: 
Tue, May 10, 2011
Location: 
Calgary Place Tower (Shell)
Location: 
University of Calgary, Calgary, Canada
Conference: 
Shell Lunchbox Lectures
Abstract: 
Optimal investment is a key problem in asset-liability management of an insurance company. Rather than allocating wealth optimally so as to maximize the overall investment return, an insurance company is interested in assessing the risk exposure where both assets and liabilities are included and minimizing the risk of mismatches between them. Different approaches for solving optimization problems by minimizing standard risk measures such as the value at risk (VaR) or the conditional value at risk (CVaR) have been proposed in the literature. In this paper we focus on some Solvency II applications by investigating several novel problems for jointly quantifying the optimal initial capital requirement and the optimal portfolio investment under various constraints. Discussions on the convexity of these problems are also provided. Using a Monte Carlo simulation and a semi-parametric approach based on different assumptions for the loss distribution, we compute the insurer optimal capital needed to be efficiently invested in a portfolio formed by two or more assets. Finally, a detailed numerical experiment is conducted to assess the robustness and sensitivity of our optimal solutions relative to the model factors. This paper was written in collaboration with Alexandru V. Asimit (Cass Business School, City University, UK), Tak Kuen Siu (Faculty of Business and Economics, Macquarie University, Australia)and Yuriy Zinchenko (Department of Mathematics and Statistics, University of Calgary).

Perturbation Methods

Author: 
Kenneth Judd
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Perturbation Methods

Numerical Dynamic Programming

Author: 
Kenneth Judd
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Numerical Dynamic Programming.

Projection Methods for Dynamic Models

Author: 
Kenneth Judd
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Projection Methods for Dynamic Models.

Variational Inequalities and Economic Equilibrium

Author: 
Alejandro Jofré
Ralph Tyrrell Rockafellar
Roger J-B Wets
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Variational Inequalities and Economic Equilibrium

Finding Equilibrium Points (Part II)

Author: 
Alejandro Jofré
Ralph Tyrrell Rockafellar
Roger J-B Wets
Michael C. Ferris
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Finding equilibrium points

Finding Equilibrium Points (Part I)

Author: 
Alejandro Jofré
Ralph Tyrrell Rockafellar
Roger J-B Wets
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Finding equilibrium points.

Information and Markets (Part IV)

Author: 
William Zame
Date: 
Fri, Jul 1, 2011
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Information and markets.

Information and Markets (Part III)

Author: 
William Zame
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Information and markets.
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