Equity Allocation and Portfolio Selection in Insurance: A simplified Portfolio Model

Erik Taflin
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Erik Taflin: AXA

GE, Growth, Math methods from University Library of Munich, Germany

Abstract: A quadratic discrete time probabilistic model, for optimal portfolio selection in (re-)insurance is studied. For positive values of underwriting levels, the expected value of the accumulated result is optimized, under constraints on its variance and on annual ROE's. Existence of a unique solution is proved and a Lagrangian formalism is given. An effective method for solving the Euler-Lagrange equations is developed. The approximate determination of the multipliers is discussed. This basic model is an important building block for more complete models.

Keywords: Insurance; Equity Allocation; Portfolio Selection (search for similar items in EconPapers)
JEL-codes: C6 G11 G22 G32 (search for similar items in EconPapers)
Date: 1999-06-22, Revised 1999-07-23
Note: Type of document submitted: Postscript; prepared with LaTeX2e;
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