Applying simulation optimization to the asset allocation of a property-casualty insurer

European Journal of Operational Research

Volumn 207, Issue 1, 2010, Pages 499-507

  Yu, Tzu Yi ^a   Tsai, Chenghsien ^b   Huang, Hsiao Tzu ^b  

^a NATIONAL CHI NAN UNIVERSITY   (Taiwan)

^b NATIONAL CHENGCHI UNIVERSITY   (Taiwan)

Author keywords

Asset allocation; Evolution strategies; Optimization; Property casualty insurance; Simulation

Indexed keywords

ALLOCATION STRATEGY; ASSET ALLOCATION; BALANCING STRATEGY; COMPUTATIONAL RESULTS; ECONOMIC ISSUES; EVOLUTION STRATEGIES; GRID-SEARCH METHOD; MULTI-PERIOD; PHASE EVOLUTIONS; PRACTICAL GUIDANCE; SEARCH ALGORITHMS; SIMULATION MODEL; SIMULATION OPTIMIZATION;

BIOLOGY; EVOLUTIONARY ALGORITHMS; INSURANCE; INVESTMENTS; LEARNING ALGORITHMS; OPTIMIZATION;

COMPUTER SIMULATION;

EID: 77953870864     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2010.04.012     Document Type: Article

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