Technical Note—Insurance Exposure and Investment Risks: A Comment on the Use of Chance-Constrained Programming

Yehuda Kahane
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Yehuda Kahane: Hebrew University, Jerusalem, Israel

Operations Research, 1977, vol. 25, issue 2, 330-337

Abstract: This note criticizes the chance-constrained programming model suggested by Thompson, Matthew, and Li for the balancing of investment and underwriting risks of a non-life-insurance company. We show that the optimal solution derived from such a model is based on contradictory utility assumptions. Moreover, the chance-constrained programming model is more restrictive than a full mean-variance quadratic programming model, which yields the same results.

Date: 1977
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Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:25:y:1977:i:2:p:330-337

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