Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint
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Springer
2023
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| Truy cập trực tuyến: | https://link.springer.com/article/10.1007/s10287-023-00439-1 https://dlib.phenikaa-uni.edu.vn/handle/PNK/8477 |
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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 |
8.887836 |