Portfolio optimization under Solvency II
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DOI: 10.1007/s10479-018-2835-x
Abstract: In the current low interest-rate and highly-regulated environment investing capital efficiently is one of the most important challenges insurance companies face. Certain quantitative parts of regulatory requirements (e.g. Solvency II capital requirements) result in constraints… read more here.
Keywords: investment strategies; portfolio optimization; optimization solvency; solvency ... See more keywords