A portfolio optimization model combining pooling and group buying of reinsurance under an asset liability management approach
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...
Main Author: | Porth, Lysa M. |
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Other Authors: | Boyd, Milton S. (Agribusiness and Agricultural Economics) Pai, Jeffrey S. (Warren Centre for Actuarial Studies and Research) |
Published: |
2011
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Subjects: | |
Online Access: | http://hdl.handle.net/1993/4765 |
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