A portfolio optimization model combining pooling and group buying of reinsurance under an asset liability management approach

A portfolio optimization model combining pooling and group buying of reinsurance under an asset liability management approach

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Some insurance firms are faced with the unique challenge of managing risks that are large, infrequent, and potentially highly correlated within geographic regions and/or across product lines. An example of this is crop insurance, which includes weather risk, and leads to a portfolio of risks with h...

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Bibliographic Details
Main Author: Porth, Lysa M.
Other Authors: Boyd, Milton S. (Agribusiness and Agricultural Economics) Pai, Jeffrey S. (Warren Centre for Actuarial Studies and Research)
Published: 2011
Subjects:
Risk Management
Portfolio Optimization
Asset Liability Management
Crop Insurance
Online Access:http://hdl.handle.net/1993/4765

Internet

http://hdl.handle.net/1993/4765

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