Quadratic Unconstrained Binary Optimization Approach for Incorporating Solvency Capital into Portfolio Optimization

In this paper, we consider the inclusion of the solvency capital requirement (SCR) into portfolio optimization by the use of a quadratic proxy model. The Solvency II directive requires insurance companies to calculate their SCR based on the complete loss distribution for the upcoming year. Since thi...

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Bibliographic Details

Published in:	Risks
Main Authors:	Ivica Turkalj, Mohammad Assadsolimani, Markus Braun, Pascal Halffmann, Niklas Hegemann, Sven Kerstan, Janik Maciejewski, Shivam Sharma, Yuanheng Zhou
Format:	Article
Language:	English
Published:	MDPI AG 2024-01-01
Subjects:	solvency II quadratic unconstrained binary optimization portfolio optimization proxy modeling
Online Access:	https://www.mdpi.com/2227-9091/12/2/23