Portfolio optimization under solvency constraints : a dynamical approach

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<dc:creator>Asanga, Sujith</dc:creator>
<dc:date>2014-09-01</dc:date>
<dc:description xml:lang="es">Sumario: We develop portfolio optimization problems for a nonlife insurance company seeking to find the minimum capital required that simultaneously satisfies solvency and portfolio performance constraints. Motivated by standard insurance regulations, we consider solvency capital requirements based on three criteria: ruin probability, conditional Value-at-Risk, and expected policyholder deficit ratio. We propose a novel semiparametric formulation for each problem and explore the advantages of implementing this methodology over other potential approaches. When liabilities follow a Lognormal distribution, we provide sufficient conditions for convexity for each problem. Using different expected return on capital target levels, we construct efficient frontiers when portfolio assets are modeled with a special class of multivariate GARCH models. We find that the correlation between asset returns plays an important role in the behavior of the optimal capital required and the portfolio structure. The stability and out-of-sample performance of our optimal solutions are empirically tested with respect to both the solvency requirement and portfolio performance, through a double rolling window estimation exercise</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/149760.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Solvencia</dc:subject>
<dc:subject xml:lang="es">Modelos probabílisticos</dc:subject>
<dc:subject xml:lang="es">Cartera de seguros</dc:subject>
<dc:subject xml:lang="es">Gestión de carteras</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Portfolio optimization under solvency constraints : a dynamical approach</dc:title>
<dc:relation xml:lang="es">En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 01/09/2014 Tomo 18 Número 3 - 2014 , p. 394-416</dc:relation>
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