A Portfolio optimization approach using combinatorics with a genetic algorithm for developing a reinsurance model

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<title>Portfolio optimization approach using combinatorics with a genetic algorithm for developing a reinsurance model</title>
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<namePart>Porth, Lysa</namePart>
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<abstract displayLabel="Summary">Some insurance firms challenged with a portfolio of high-variance risks face the classic trade-off between risk spreading and risk retaining. Using crop insurance as an example, a new solution to this problem is undertaken to uncover an improved reinsurance design. Joint self-managed reinsurance pooling and private reinsurance are combined in a portfolio approach utilizing combinatorial optimization with a genetic algorithm (Model C), achieving high surplus, high survival probability, and low deficit at ruin. This portfolio model may also be useful for other large natural disaster and weather-related insurance portfolios, and other portfolio applications</abstract>
<note type="statement of responsibility">Lysa Porth, Jeffrey Pai, Milton Boyd</note>
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<topic>Reaseguro</topic>
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<title>The Journal of risk and insurance</title>
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<identifier type="issn">0022-4367</identifier>
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<text>07/09/2015 Volumen 82 Número 3 - septiembre 2015 , p. 687-714</text>
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