Investment selection and risk management for insurance corporation

Authors:
Yan-Ling Wang;De-Li Yang
Affiliations:
School of Law, Dalian Maritime University, Dalian, P.R. China;School of Management, Dalian University of Technology, Dalian, P.R. China
Venue:
IDEAL'06 Proceedings of the 7th international conference on Intelligent Data Engineering and Automated Learning
Year:
2006

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Abstract

The problems related to the investment selection and risk management are very important for the insurance corporation and are considered in this paper. When performing the investment selection and risk management, the insurance corporation should suitably choose the policy among a variety of production/business policies with different risk and profit potential. In this paper, the optimal investment selection and risk management policy for the insurance corporation is defined as the objective to find the policy which maximizes the expected total discounted dividend pay-out until the time of bankruptcy.