Liquid asset allocation using "newsvendor" models with convex shortage costs

Yigal Gerchak; Shaun Wang

doi:10.1016/S0167-6687(96)00018-2

Liquid asset allocation using "newsvendor" models with convex shortage costs

Yigal Gerchak, Shaun Wang^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

Abstract

In this article we use a generalized news vendor model to determine the optimal liquid asset allocation for insurance risks by an insurance firm. The model studied uses a power function for the liquidation costs. In the case of quadratic liquidation costs, we investigate the impact of risk-pooling and risk-sharing on the optimal liquid asset allocation.

Original language	English
Pages (from-to)	17-21
Number of pages	5
Journal	Insurance: Mathematics and Economics
Volume	20
Issue number	1
DOIs	https://doi.org/10.1016/S0167-6687(96)00018-2
State	Published - Jun 1997
Externally published	Yes

Keywords

Asset allocation
Newsvendor model

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10.1016/S0167-6687(96)00018-2

Cite this

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abstract = "In this article we use a generalized news vendor model to determine the optimal liquid asset allocation for insurance risks by an insurance firm. The model studied uses a power function for the liquidation costs. In the case of quadratic liquidation costs, we investigate the impact of risk-pooling and risk-sharing on the optimal liquid asset allocation.",

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Liquid asset allocation using "newsvendor" models with convex shortage costs

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Keywords

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