TY - JOUR
T1 - BALANCE SHEET OPTIMIZATION FOR NON-LIFE INSURANCE COMPANIES: AN EXTENSION
AU - Biger, Nahum
AU - Kahane, Yehuda
PY - 1978
Y1 - 1978
N2 - As an extension to the article on balance sheet optimization (vol. I, no. 2), this paper proposed the use of a double-index portfolio selection algorithm for finding mean-variance efficient compositions of assets and underwriting activities by non-life insurance companies. The model is tested against two other models proposed in the literature, and its advantages are discussed and evaluated.
AB - As an extension to the article on balance sheet optimization (vol. I, no. 2), this paper proposed the use of a double-index portfolio selection algorithm for finding mean-variance efficient compositions of assets and underwriting activities by non-life insurance companies. The model is tested against two other models proposed in the literature, and its advantages are discussed and evaluated.
UR - https://www.jstor.org/stable/41943053
M3 - Article
SN - 1531-6076
VL - 1
SP - 71
EP - 81
JO - The Journal of Insurance Issues and Practices
JF - The Journal of Insurance Issues and Practices
IS - 4
ER -