Abstract
This note criticizes the chance-constrained programming model suggested by Thompson, Matthew, and Li for the balancing of investment and underwriting risks of a nonlife-insurance company. It is shown that the optimal solution derived from such a model is based on contradictory utility assumptions. Moreover, the chance-constrained programming model is more restrictive than a full mean-variance quadratic programming model, which yields the same results.
| Original language | English |
|---|---|
| Pages (from-to) | 330-337 |
| Number of pages | 8 |
| Journal | Operations Research |
| Volume | 25 |
| Issue number | 2 |
| DOIs | |
| State | Published - 1977 |