International Congress on Insurance: Mathematics and Economics edition:13 location:Istanbul, Turkey date:27-29 May 2009
In Dhaene et al. (2005), multiperiod portfolio selection problems are discussed, using an analytical approach to find optimal constant mix investment strategies in a provisioning or savings context. In this paper we extend some of these results, investigating some specific, real-life situations. First, we generalize portfolio selection problems to the case where a minimal return requirement is imposed. We derive an intuitive formula that can be used as a constraint on the admissable investment portfolios, in order to guarantee a minimal annualized return.
Determining the distribution function of a sum of random variables, describing a series of future payments, is important when solving several problems in a general insurance or finance context. In this paper we extend the solution of Vanduffel et al. (2005) allowing for more arbitrary cash ows patterns. In the final section we investigate the so-called ashing light reserve. In our analytical framework, we derive convex bounds that can be used to estimate this additional provision, and related probability levels. We always apply our results to optimal portfolio selection.