An Analysis of Black-box Optimization Problems in Reinsurance: Evolutionary-based Approaches

Sancho Salcedo-Sanz (), L. Carro-Calvo, Mercè Claramunt (), Anna Castañer and Maite Marmol ()
Additional contact information
Sancho Salcedo-Sanz: Department of Signal Theory and Communications, Universidad de Alcala, Spain.
L. Carro-Calvo: Department of Signal Theory and Communications, Universidad de Alcala, Spain.
Mercè Claramunt: Dept. Matematica Economica, Financera i Actuarial, Universitat de Barcelona, CREB, XREAP, Barcelona, Spain.
Maite Marmol: Dept. Matematica Economica, Financera i Actuarial, Universitat de Barcelona, CREB, XREAP, Barcelona, Spain.

No XREAP2013-04, Working Papers from Xarxa de Referència en Economia Aplicada (XREAP)

Abstract: Black-box optimization problems (BBOP) are de ned as those optimization problems in which the objective function does not have an algebraic expression, but it is the output of a system (usually a computer program). This paper is focussed on BBOPs that arise in the eld of insurance, and more speci cally in reinsurance problems. In this area, the complexity of the models and assumptions considered to de ne the reinsurance rules and conditions produces hard black-box optimization problems, that must be solved in order to obtain the optimal output of the reinsurance. The application of traditional optimization approaches is not possible in BBOP, so new computational paradigms must be applied to solve these problems. In this paper we show the performance of two evolutionary-based techniques (Evolutionary Programming and Particle Swarm Optimization). We provide an analysis in three BBOP in reinsurance, where the evolutionary-based approaches exhibit an excellent behaviour, nding the optimal solution within a fraction of the computational cost used by inspection or enumeration methods.

Keywords: Reinsurance; Optimization Problems; Evolutionary-based algorithms (search for similar items in EconPapers)
Pages: 34 pages
Date: 2013-05, Revised 2013-05
New Economics Papers: this item is included in nep-cmp, nep-evo and nep-ias
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.xreap.cat/RePEc/xrp/pdf/XREAP2013-04.pdf First version, 2013 (application/pdf)
http://www.xreap.cat/RePEc/xrp/pdf/XREAP2013-04.pdf Revised version, 2013 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:xrp:wpaper:xreap2013-04

Access Statistics for this paper

More papers in Working Papers from Xarxa de Referència en Economia Aplicada (XREAP) Contact information at EDIRC.
Bibliographic data for series maintained by XREAP ( this e-mail address is bad, please contact ).