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

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      <subfield code="a">Porth, Lysa</subfield>
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      <subfield code="a">A Portfolio optimization approach using combinatorics with a genetic algorithm for developing a reinsurance model</subfield>
      <subfield code="c">Lysa Porth, Jeffrey Pai, Milton Boyd</subfield>
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      <subfield code="a">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</subfield>
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      <subfield code="a">Cálculo actuarial</subfield>
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      <subfield code="a">Modelos actuariales</subfield>
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      <subfield code="a">Gerencia de riesgos</subfield>
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      <subfield code="t">The Journal of risk and insurance</subfield>
      <subfield code="d">Nueva York : The American Risk and Insurance Association, 1964-</subfield>
      <subfield code="x">0022-4367</subfield>
      <subfield code="g">07/09/2015 Volumen 82 Número 3 - septiembre 2015 , p. 687-714</subfield>
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      <subfield code="y">MÁS INFORMACIÓN</subfield>
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