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Portfolio Optimization
2000
ASTIN Bulletin: The Journal of the International Actuarial Association
Based on the profit and loss account of an insurance company we derive a probabilistic model for the financial result of the company, thereby both assets and liabilities are marked to market. We thus focus on the economic value of the company. We first analyse the underwriting risk of the company. The maximization of the risk return ratio of the company is derived as optimality criterion. It is shown how the risk return ratio of heterogeneous portfolios or of catastrophe exposed portfolios can
doi:10.2143/ast.30.1.504632
fatcat:iqmpa6bjnjej3h62ocmwlv4j6i