INSURANCE EXPOSURE AND INVESTMENT RISKS: A COMMENT ON THE USE OF CHANCE-CONSTRAINED PROGRAMMING.

Yehuda Kahane*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

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 languageEnglish
Pages (from-to)330-337
Number of pages8
JournalOperations Research
Volume25
Issue number2
DOIs
StatePublished - 1977

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