Show simple item record

dc.contributor.authorTaflin, Erik
HAL ID: 21019
ORCID: 0000-0002-6212-6501
dc.date.accessioned2011-05-02T14:53:11Z
dc.date.available2011-05-02T14:53:11Z
dc.date.issued2000
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6142
dc.language.isoenen
dc.subjectInsuranceen
dc.subjectEquity allocationen
dc.subjectPortfolio selectionen
dc.subjectValue at risken
dc.subject.ddc332en
dc.subject.classificationjelC6en
dc.subject.classificationjelG11en
dc.subject.classificationjelG22en
dc.subject.classificationjelG32en
dc.titleEquity allocation and portfolio selection in insuranceen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenA discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both liabilities and assets, it is proved that the model has solutions respecting constraints on ROEs, ruin probabilities and market shares currently in practical use. Solutions define global and optimal risk management strategies of the company. Mathematical existence results and tools, such as the inversion of the linear part of the Euler–Lagrange equations, developed in a preceding paper in the context of a simplified model are essential for the mathematical and numerical construction of solutions of the model.en
dc.relation.isversionofjnlnameInsurance Mathematics and Economics
dc.relation.isversionofjnlvol27en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2000
dc.relation.isversionofjnlpages65-81en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/S0167-6687(99)00062-1en
dc.identifier.urlsitehttp://arxiv.org/abs/math/9907160v1en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record