Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with conditional value-at-risk (CVaR) constraint

DOI10.1007/s10287-023-00439-1OpenAlexW4323042419MaRDI QIDQ6088771

Massimo Costabile, Alessandro Staino, Emilio Russo, Arturo Leccadito

Publication date: 14 December 2023

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-023-00439-1

zbMATH Keywords

convex optimizationconditional value-at-riskcapital requirementnon-life insurance

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A heuristic for moment-matching scenario generation
• Measuring risk with multiple eligible assets
• Coherent Measures of Risk
• The Cutting-Plane Method for Solving Convex Programs
• Risk Measures and Comonotonicity: A Review
• FITTING MIXTURES OF ERLANGS TO CENSORED AND TRUNCATED DATA USING THE EM ALGORITHM
• Portfolio Optimization under Solvency Constraints: A Dynamical Approach
• Capital requirements and optimal investment with solvency probability constraints
• Convex Analysis
• Application of Coherent Risk Measures to Capital Requirements in Insurance

This page was built for publication: Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with conditional value-at-risk (CVaR) constraint