Multi-Objective Stochastic Optimization Programs for a Non-Life Insurance Company under Solvency Constraints

Massimiliano Kaucic and Roberto Daris
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Massimiliano Kaucic: Department of Economics, Business, Mathematics and Statistics, University of Trieste, Piazzale Europa 1, 34127 Trieste, Italy
Roberto Daris: Department of Economics, Business, Mathematics and Statistics, University of Trieste, Piazzale Europa 1, 34127 Trieste, Italy

Risks, 2015, vol. 3, issue 3, 1-30

Abstract: In the paper, we introduce a multi-objective scenario-based optimization approach for chance-constrained portfolio selection problems. More specifically, a modified version of the normal constraint method is implemented with a global solver in order to generate a dotted approximation of the Pareto frontier for bi- and tri-objective programming problems. Numerical experiments are carried out on a set of portfolios to be optimized for an EU-based non-life insurance company. Both performance indicators and risk measures are managed as objectives. Results show that this procedure is effective and readily applicable to achieve suitable risk-reward tradeoff analysis.

Keywords: multi-objective stochastic programming; performance indicators; chance constraint; normal constraint method; non-life insurance company (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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