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Korf, L.A. (1998). Insurer's Portfolios of Risks: Approximating Infinite Horizon Stochastic Dynamic Optimization Problems. IIASA Interim Report. IIASA, Laxenburg, Austria: IR-98-061
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Abstract
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.
| Item Type: | Monograph (IIASA Interim Report) |
|---|---|
| Research Programs: | Risk, Modeling, Policy (RMP) |
| Depositing User: | IIASA Import |
| Date Deposited: | 15 Jan 2016 02:10 |
| Last Modified: | 27 Aug 2021 17:16 |
| URI: | https://pure.iiasa.ac.at/5588 |
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