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1. link.springer.com › article › 10An optimal reinsurance simulation model for non-life ...

   link.springer.com › article › 10

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   Jun 4, 2021 · Therefore, we define a multi-objective portfolio optimization problem with specific constraints. Specific constraints are given by the fact that the Solvency II Directive requires a minimum capital to be held by EU-based insurance companies in order to guarantee a target level for the ruin probability over a specified period.

   • Author: Alberto Zanotto, Gian Paolo Clemente

   • Publish Year: 2021

2. www.casact.org › sites › defaultOptimization in Insurance

   www.casact.org › sites › default

   Constraint I: Composite adjacency constraint. For larger scores, we constrain the score ratio between 0.8 and 1.25. For smaller scores , (below the 25th percentile of score values), we constrain the absolute difference between scores. This allows fewer changes when the impact is less material.

3. People also ask

   What happens if a constraint does not pass through the optimal point?

   • If any of the constraint lines do not pass through the optimal point, those constraints are called inactive. In general, we ignore the constraints at 0 and focus on the constraints generated by limits on resources. An active constraint means that this factor is causing the limitation on the objective function.

   Introduction to Constrained Optimization - Stanford University

   web.stanford.edu/group/sisl/k12/optimization/MO-unit3-pdfs/3.1introandgraphical.pdf

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   How to optimize reinsurance experience rate?

   • The actuary will often need to use smoothing techniques, such as the Bornhuetter-Ferguson approach or the Cape Cod (aka Stanard-Buhlmann) method, to produce a final experience rate.1 Phase 1 Set goals and constraints of the optimization. Phase 2 Create gross of reinsurance model and validate results.

   Framework Construct for a Basic Reinsurance Optimization Model

   www.soa.org/globalassets/assets/library/newsletters/reinsurance-section-news/2017/march/rsn-2016-iss87-ali.pdf

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   Is reinsurance optimization possible for a non-life multi-line insurer?

   • In this paper, we propose an approach to explore reinsurance optimization for a non-life multi-line insurer through a simulation model that combines alternative reinsurance treaties. Based on the Solvency II framework, the model maximises both solvency ratio and portfolio performance under user-defined constraints.

   An optimal reinsurance simulation model for non-life insurance in the

   link.springer.com/article/10.1007/s13385-021-00281-2

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   Is optimism a plausible explanation of the optimality of partial insurance?

   • Optimism on the side of the policyholder is another plausible explanation of the optimality of partial insurance. Wilson ( 1968 ), Leland ( 1980 ), and Gollier ( 2007) characterize optimal risk-sharing contracts with heterogeneous beliefs. We have justified the difference between F and G by the existence of heterogeneous beliefs in the EU model.

   The Economics of Optimal Insurance Design | SpringerLink

   link.springer.com/chapter/10.1007/978-1-4614-0155-1_4

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4. link.springer.com › article › 10Optimal Insurance Strategy Design in a Risk Process under ...

   link.springer.com › article › 10

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   Nov 6, 2020 · This paper has investigated a new problem of designing an optimal insurance strategy in a discrete-time risk process with stepwise probabilistic (VaR) constraints on the insurer’s capital at each step of the process and the mean value of his final capital as the objective functional.

   • Author: A. Yu. Golubin, A. Yu. Golubin, V. N. Gridin

   • Publish Year: 2020

5. web.stanford.edu › group › sislIntroduction to Constrained Optimization - Stanford University

   web.stanford.edu › group › sisl

   Constrained Optimization In the previous unit, most of the functions we examined were unconstrained, meaning they either had no boundaries, or the boundaries were soft. In this unit, we will be examining situations that involve constraints. A constraint is a hard limit placed on the value of a variable, which prevents us

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7. www.soa.org › globalassets › assetsFramework Construct for a Basic Reinsurance Optimization Model

   www.soa.org › globalassets › assets

   A very useful methodology for reinsurance optimization is described as follows:2 Phase 1 Set goals and constraints of the optimization. Phase 2 Create gross of reinsurance model and validate results. Phase 3 Create net of reinsurance model, validate results and verify limit and retentions are adequate. Phase 4 Evaluate current contracts.

8. www.tandfonline.com › doi › fullOptimal reinsurance designs based on risk measures: a review

   www.tandfonline.com › doi › full

   Apr 29, 2020 · Abstract. Reinsurance is an effective way for an insurance company to control its risk. How to design an optimal reinsurance contract is not only a key topic in actuarial science, but also an interesting research question in mathematics and statistics. Optimal reinsurance design problems can be proposed from different perspectives.

9. link.springer.com › chapter › 10The Economics of Optimal Insurance Design | SpringerLink

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   Jan 1, 2013 · Handbook of Insurance. Christian Gollier. 8461 Accesses. 26 Citations. Abstract. This chapter provides a survey on optimal insurance when insurers and policyholders have symmetric information about the distribution of potential damages.