THE PORTFOLIO OPTIMIZATION MODELS FOR INSURANCE

被引：0
|
作者：
L'udovit, Pinda [1 ]
Juraj, Pekar [2 ]
机构：
[1] Univ Econ Bratislava, Dept Math, Dolnozemska 1, Bratislava 85235, Slovakia
[2] Univ Econ Bratislava, Dept Operat Res & Econometr, Bratislava 85235, Slovakia
来源：
PROCEEDINGS OF THE INTERNATIONAL CONFERENCE QUANTITATIVE METHODS IN ECONOMICS (MULTIPLE CRITERIA DECISION MAKING XIV) | 2008年
关键词：
Property-liability insurance companies; variance of return; technical reserves; funds generating factor;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The aim of this article is derive the optimization model for property-liability insurance companies. We supposed the theoretical discussion sufficient to consider a simplified version of the model which includes n-th types of insurance and m-th assets alternatives. The objective of the model is to minimize the insurance company's variance of return on equity for any particular value of its expected return on equity. With the paper it is shown the application in Slovak insurance area with investment the technical reserves.
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页码：231 / +
页数：3
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