Optimisation of asset allocation and reinsurance strategy by the mean of a genetic algorithm : NSGA-II

Echchelh, Mehdi (2019) Optimisation of asset allocation and reinsurance strategy by the mean of a genetic algorithm : NSGA-II. In: ICCWCS 2019, 24-25 April 2019, Kenitra, Morocco.

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Abstract

The management of insurance companies is a complex problem in which several indicators intervene and for which the interactions between these indicators and the management levers (reinsurance strategy, asset allocation, etc.) are not simple. We apply one of the most popular multi-objective optimization methods, namely NSGA-II. The implemented algorithm allows to find almost 98% of the hypervolume of the Pareto front in 20 iterations. In addition, the quality of representation of the Pareto front seems to be independent of the number of business of lines to be optimized, which may suggest that the work in this study may be scaled to larger companies for business use.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: multi-objective optimization genetic algorithm nsga-ii insurance reinsurance asset allocation
Subjects: T Technology > T Technology (General)
Depositing User: EAI Editor IV
Date Deposited: 15 Oct 2021 07:07
Last Modified: 15 Oct 2021 07:07
URI: https://eprints.eudl.eu/id/eprint/7643

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