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A Portfolio optimization approach using combinatorics with a genetic algorithm for developing a reinsurance model
Recurso Electrónico
MAP20150029720
Porth, Lysa ‌
A Portfolio optimization approach using combinatorics with a genetic algorithm for developing a reinsurance model / Lysa Porth, Jeffrey Pai, Milton Boyd
Sumario: 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
En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 07/09/2015 Volumen 82 Número 3 - septiembre 2015 , p. 687-714
1. Reaseguro ‌. 2. Cálculo actuarial ‌. 3. Modelos actuariales ‌. 4. Gerencia de riesgos ‌. I. Título.