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Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint

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Bibliographic Details
Main Authors: Alessandro, Staino, Emilio, Russo, Massimo, Costabile
Format: Book
Language:English
Published: Springer 2023
Subjects:
CVaR
Minimum capital requirement
Online Access:https://link.springer.com/article/10.1007/s10287-023-00439-1
https://dlib.phenikaa-uni.edu.vn/handle/PNK/8477
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spelling oai:localhost:PNK-84772023-05-22T01:53:39Z Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint Alessandro, Staino Emilio, Russo Massimo, Costabile CVaR Minimum capital requirement CC BY We present an optimization problem to determine the minimum capital requirement for a non-life insurance company. The optimization problem imposes a non-positive Conditional Value-at-Risk (CVaR) of the insurer’s net loss and a portfolio performance constraint. When expressing the optimization problem in a semiparametric form, we demonstrate its convexity for any integrable random variable representing the insurer’s liability. Furthermore, we prove that the function defining the CVaR constraint in the semiparametric formulation is continuously differentiable when the insurer’s liability has a continuous distribution. We use the Kelley-Cheney-Goldstein algorithm to solve the optimization problem in the semiparametric form and show its convergence. An empirical analysis is carried out by assuming three different liability distributions: a lognormal distribution, a gamma distribution, and a mixture of Erlang distributions with a common scale parameter. 2023-05-22T01:53:39Z 2023-05-22T01:53:39Z 2023 Book https://link.springer.com/article/10.1007/s10287-023-00439-1 https://dlib.phenikaa-uni.edu.vn/handle/PNK/8477 en application/pdf Springer
institution Digital Phenikaa
collection Digital Phenikaa
language English
topic CVaR
Minimum capital requirement
spellingShingle CVaR
Minimum capital requirement
Alessandro, Staino
Emilio, Russo
Massimo, Costabile
Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint
description CC BY
format Book
author Alessandro, Staino
Emilio, Russo
Massimo, Costabile
author_facet Alessandro, Staino
Emilio, Russo
Massimo, Costabile
author_sort Alessandro, Staino
title Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint
title_short Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint
title_full Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint
title_fullStr Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint
title_full_unstemmed Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint
title_sort minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with conditional value-at-risk (cvar) constraint
publisher Springer
publishDate 2023
url https://link.springer.com/article/10.1007/s10287-023-00439-1
https://dlib.phenikaa-uni.edu.vn/handle/PNK/8477
_version_ 1772331157932736512
score 8.891145

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