Centro de Documentacion de Fundación MAPFRE - Portfolio optimization under solvency constraints : a dynamical approach

MAP20140041862

Portfolio optimization under solvency constraints : a dynamical approach / Sujith Asanga... [et al.]

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

En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 01/09/2014 Tomo 18 Número 3 - 2014 , p. 394-416

1. Matemática del seguro . 2. Cálculo actuarial . 3. Solvencia . 4. Modelos probabílisticos . 5. Cartera de seguros . 6. Gestión de carteras . I. Asanga, Sujith .