Date of this Version
Journal of Actuarial Practice 5 (1997), pp. 49-77
Monte Carlo simulation is used to develop a flexible framework to measure the profitability, risk, and competitiveness of any insurance product. A genetic algorithm is then used to seek the optimum asset allocations that form the profitability-risk-competitiveness frontier and to examine the profitability, risk, and competitiveness trade-off's. We also show how to select the appropriate asset allocation and crediting strategy in order to position the product at the DeSired location on the profitability-risk-competitiveness spectrum.
Accounting Commons, Business Administration, Management, and Operations Commons, Corporate Finance Commons, Finance and Financial Management Commons, Insurance Commons, Management Sciences and Quantitative Methods Commons