Captial requirements and optimal investment for insurance companies

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dc.contributor.advisorBadescu, Alexandru
dc.contributor.authorWang, Bo
dc.date.accessioned2017-12-18T22:28:59Z
dc.date.available2017-12-18T22:28:59Z
dc.date.issued2012
dc.descriptionBibliography: p. 74-76en
dc.description.abstractAsset allocation is one of the central issues in banking, finance and insurance industries. Using ruin probability and expected loss at ruin as measures of risk, we aimed to inves­tigate the optimal investment problem of an investor in finance and insurance in a static one-period setting. Mean - Variance, Value at Risk (VaR) and Conditional Value at Risk (CVaR) model­ing were three approaches investigated in this thesis. However, mathematically VaR had some serious limitations, such as lack of sub-additivity. In the case of a finite number of scenarios, VaR is a non-smooth, non-convex function, making it difficult to control and optimize. This fact stimulate our development of new optimization algorithms presented here, by introducing ruin probability and expected loss at ruin. Optimization problems with a certain level of expected return in finance field were first analyzed and then with premium and claim loss added into consideration, the optimization methodologies were applied to the insurance field. After introducing ruin probability and expected loss at ruin as risk measures, the optimization results became more accurate and feasible. Using our proposed new method, we investigated the capital required and asset allo­cation problem.
dc.format.extentvii, 91 leaves : ill. ; 30 cm.en
dc.identifier.citationWang, B. (2012). Captial requirements and optimal investment for insurance companies (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/4621en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/4621
dc.identifier.urihttp://hdl.handle.net/1880/105622
dc.language.isoeng
dc.publisher.institutionUniversity of Calgaryen
dc.publisher.placeCalgaryen
dc.rightsUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.
dc.titleCaptial requirements and optimal investment for insurance companies
dc.typemaster thesis
thesis.degree.disciplineMathematics and Statistics
thesis.degree.grantorUniversity of Calgary
thesis.degree.nameMaster of Science (MSc)
ucalgary.item.requestcopytrue
ucalgary.thesis.accessionTheses Collection 58.002:Box 2078 627942922
ucalgary.thesis.notesUARCen
ucalgary.thesis.uarcreleaseyen
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