Optimal captial investment for an insurance company

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dc.contributor.advisorBadescu, Alexandru
dc.contributor.authorAsanga, Sujith
dc.date.accessioned2017-12-18T22:37:16Z
dc.date.available2017-12-18T22:37:16Z
dc.date.issued2012
dc.descriptionBibliography: p. 66-69en
dc.description.abstractThe purpose of this study was to investigate a common problem of managing economic capital for insurance companies. In particular, the role of determining the optimal investment capital and investing the capital in a well diversified portfolio were examined. The optimization problem incorporated in our methodology, was constructed to solve the optimal investment capital under ruin probability constraint in such a way that it jointly optimizes the asset allocation among a diversified portfolio. Our approach has a semipara­metric nature with appropriate transformations and approximations that enable numerical techniques such as Monte Carlo simulation. Asset returns were modelled using Multivariate Generalized Autoregressive Conditional Heteroskedastic (MV GARCH) framework. We implemented different correlation models targeting two risky assets. A rolling win­dow technique was employed to ensure the robustness of our models. It was revealed that the characteristics of the risky and risk-less assets and their behaviour over the moving in­vestment horizon, have great impact on investment plans. Our results indicated the optimal asset allocation in a well-diversified portfolio provided that investment capital is optimized subject to regulatory constraints.
dc.format.extentvii, 70 leaves : ill. ; 30 cm.en
dc.identifier.citationAsanga, S. (2012). Optimal captial investment for an insurance company (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/5038en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/5038
dc.identifier.urihttp://hdl.handle.net/1880/106039
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.titleOptimal captial investment for an insurance company
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 2102 627942972
ucalgary.thesis.notesUARCen
ucalgary.thesis.uarcreleaseyen
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