Two essays on the applications of simulation optimization to the asset allocations of a property-casualty insurer
博士 === 國立政治大學 === 資訊管理研究所 === 97 === Proper asset allocations are vital for property‐casualty insurers to be competitive and remain solvent. However, popular mean‐variance analysis is limited while dynamic control theory is difficult to implement. We thus propose to apply simulation optimizations su...
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| Format: | Others |
| Language: | en_US |
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2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/83384443415028638764 |
| Summary: | 博士 === 國立政治大學 === 資訊管理研究所 === 97 === Proper asset allocations are vital for property‐casualty insurers to be competitive and remain solvent. However, popular mean‐variance analysis is limited while dynamic control theory is difficult to implement. We thus propose to apply simulation optimizations such as basic genetic algorithm (GA), multi‐phase evolutionary strategies (MPES) and multi‐phase genetic algorithm (MPGA) to the asset allocation problems of the insurers. We first construct a simulation model of the property‐casualty insurer and then develop simulation optimization techniques to search optimal investment strategies upon the simulation results.
The resulted reallocation strategies perform better than re‐balancing strategies used in practice with significant margins. Therefore, our proposal researches can be used to assist insurers to construct better asset allocations.
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