On Insurer Portfolio Optimization. An Underwriting Risk Model

Vasile Preda and Roxana Ciumara ()
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Roxana Ciumara: Department for Mathematics, Academy of Economic Studies

Journal for Economic Forecasting, 2008, vol. 5, issue 1, 102-118

Abstract: Multicriteria portfolio optimization started with the Markowitz mean-variance model (Markowitz 1952, 1959). This model assumes that the goal of an average or standard investor is to maximize the unknown return on investment. In this paper we propose a risk model related to insurance industry. The optimality criteria we propose for insurer’s portfolio optimization are based on the well-known Markowitz model, yet imposing scalarization on the components of the objective function.

Keywords: portfolio optimization; underwriting risk; scalarization. (search for similar items in EconPapers)
JEL-codes: C16 (search for similar items in EconPapers)
Date: 2008
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