Optimization Models for Insurance Portfolio Optimization in the Presence of Background Risk
E. O. Oyatoye, K. K. Arogundade
Journal of Economics, Management and Trade · pp. 114–127 · Published 4 Oct 2011
Abstract
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 insurance companies must demonstrate solvency. To achieve this, an insurance company needs to determine a fair market value of its liability by finding a replicating portfolio consisting of default-free bonds. This paper presents a class of optimization models that could be employed for portfolio optimization in the presence of background risk.
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