English, Article, Journal or magazine article edition: Insurer's Portfolios of Risks: Approximating Infinite Horizon Stochastic Dynamic Optimization Problems. L.A. Korf

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Bookmark: http://trove.nla.gov.au/version/138148
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Insurer's Portfolios of Risks: Approximating Infinite Horizon Stochastic Dynamic Optimization Problems.
Author
  • L.A. Korf
Physical Description
  • preprint
Notes
  • Many optimal portfolio problems, due to uncertainties with rare occurrences and the need to bypass so-called "end of the world effects" require considering an infinite time horizon. Among these in particular are insurer's portfolios which may include catastrophic risks such as earthquakes, floods, etc. This paper sets up an approximation framework, and obtains bounds for a class of infinite horizon stochastic dynamic optimization problems with discounted cost criterion, in the framework of stochastic programming. The resulting framework is applied to an insurer's portfolio of risk contracts.
  • RePEc:wop:iasawp:ir98061
Language
  • English
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