On Insurer Portfolio Optimization. An Underwriting Risk Model

by Preda, Vasile and Ciumara, Roxana
Published in Romanian Journal of Economic Forecasting, 2008, volume 9 issue 1, 102-118

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Abstract

Multicriteria portfolio optimization started with the Markowitz mean-variance model (Markowitz 1952, 1959). This model assumes that the goal of an average or standard investor is to maximize the unknown return on investment. In this paper we propose a risk model related to insurance industry. The optimality criteria we propose for insurer’s portfolio optimization are based on the well-known Markowitz model, yet imposing scalarization on the components of the objective function.

Keywords: portfolio optimization, underwriting risk, scalarization
JEL Classification: C16