- Out-of-Stock
Optimal Economic Capital and Investment Decisions for a Non-Life Insurance Company [extrait BMI 119]
- Write a review
€50.00
Tax included
Version numérique PDF
This paper develops a theoretical portfolio-based approach to find the economic capital and the optimal assets allocation. The model maximizes a generalized version of the RORAC ratio, under a zero-CVaR constraint. An efficient optimization procedure is proposed. To illustrate the theoretical developments, we give a numerical application and conduct sensitivity analysis. Capital adjustment appears to be more profitable than cash holding. This result holds irrespectively of the choice of the additional capital allocation. The risk magnitude and the initial capital level influence the capital adjustment decisions.Keywords: Portfolio selection; Risk management; Stochastic fractional programming; Monte Carlo simulation ; Non-life insurance.JEL: C61; D81; G11; G28; G3Auteurs :Mankaï Selim
Extrait de la revue BMI 119
BMI119-1110687
New
16 other products in the same category:
Availability: Out of stock
The Great Divergence: French Equity Premium is Lower and Riskier than the US since WWI
Is the KIID Sufficient to Associate Portfolios to Investor Profiles?
Momentum Investing over the Last Twenty Years in France, its Persistence and the Effects of the Financial Crisis
On the Performance of Socially Responsible Investing: Further Evidence
Focus on... The Individual Investor
Availability: Out of stock
Sommaire
Articles
- Introducing a New Form of Volatility Index: the Cross-Sectional Volatility Index
- The Link between Eurozone Sovereign Debt and CDS Prices
- Performance of Socially Responsible Investment Funds against an Effi cient SRI Index: The Impact of Benchmark Choice when Evaluating Active Managers
Focus On
- Shedding Light on Non-Financial Risks, A European Survey
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Sommaire
Articles
- Option Pricing and Hedging in the Presence of Cross-Hedge Risk
- Optimal Economic Capital and Investment Decisions for a Non-Life Insurance Company
- Implied Distribution as a Function of the Volatility Smile
Focus On
- Regulatory Governance Mechanisms in Banks
Availability: Out of stock
An arbitrage-free interest rate model consistent with economic constraints for Long-Term Asset Liability Management
The Influence of Variable Selection Methods on the Accuracy of Bankruptcy Prediction Models
- Extendible Options with Modifiable Underlying Assets
- The Perception of Dividends by Managers
- Mobilizing Investor Networks behind Shareholder Activism in France
