ALM for insurers with multiple underwriting lines and portfolio constraints: a Lagrangian duality approach

Keyphrases

• Insurer 100%
• Underwriting 100%
• Insurance Risk 100%
• Portfolio Constraints 100%
• Line Constraint 100%
• Lagrangian Duality 100%
• Duality Approach 100%
• Insurance Companies 33%
• Risk Aversion 33%
• Business Line 33%
• Insurance 33%
• Numerical Examples 33%
• Cointegration 33%
• Optimal Strategy 33%
• Jump-diffusion Process 33%
• Expected Utility 33%
• Convex Duality 33%
• Duality Techniques 33%
• Optimal Investment 33%
• Constant Relative Risk Aversion 33%
• Dividends 33%
• Explicit Solution 33%
• Asset Liability Management 33%
• Policy Limit 33%
• Prudence 33%
• Lagrangian 33%

Economics, Econometrics and Finance

• Wealth 100%
• Asset-Liability Management 100%