Abstract
The optimal capital allocation of an insurance company is derived in such a way as to take into account the conflicting objectives of the owners of the company for a maximum expected return and a minimum risk. The optimal allocation between two asset classes is determined simultaneously. The implications of regulatory constraints are analyzed.
Volume
Heft 1
Page
65-76
Year
2004
Categories
Actuarial Applications and Methodologies
Capital Management
Capital Allocation
Publications
Bulletin of the Swiss Association of Actuaries
