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.
|Number of pages||8|
|State||Published - 1977|