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Title: Applying Simulation Optimization to the Asset Allocation of a Property-Casualty Insurer
Authors: Yu,Tzu-Yi;Tsai,Cheng-hsien;Huang,Hsiao-Tzu
Contributors: 風管系
Keywords: Simulation;Optimization;Evolution strategies;Asset allocation;Property-casualty insurance
Date: 2010-11
Issue Date: 2014-02-27 16:18:41 (UTC+8)
Abstract: Proper asset allocations are vital for property–casualty insurers to be competitive and solvent. Theories of finance offer little practical guidance in constructing such asset allocations however. This research integrates simulation models with a newly developed evolutionary algorithm for the multi-period asset allocation problem of a property–casualty insurer. We first construct a simulation model to simulate operations of a property–casualty insurer. Then we develop multi-phase evolution strategies (MPES) to be used with the simulation model to search for promising asset allocations for the insurer. A thorough experiment is conducted to evaluate the performance of our simulation optimization approach. Computational results show that MPES is an effective search algorithm. It dominates the grid search method by a significant margin. The re-allocation strategy resulting from MPES outperforms re-balancing strategies significantly. This research further demonstrates that the simulation optimization approach can be used to study economic issues related to multi-period asset allocation problems in practical settings.
Relation: European Journal of Operational Research, 207(1), 499-507
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Data Type: article
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Appears in Collections:[風險管理與保險學系 ] 期刊論文

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