Optimization Models for Insurance Portfolio Optimization in the Presence of Background Risk
E. O. Oyatoye & K. K. Arogundade · Journal of Economics, Management and Trade · 2011
The liability stream of insurance companies often stretches several years into the future. Therefore, there is always the need to determine a portfolio of bonds or other assets whose cash-flows replicate those of the liability stream. Insurance regulatory authorities require that...
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Research Article