Replicating portfolios have recently emerged as an important tool in the life insurance industry, used for the … valuation of companies' liabilities. This paper presents a replicating portfolio (RP) model for approximating life insurance … liabilities as closely as possible. We minimize the L1 error between the discounted life insurance liability cash flows and the …

An optimal asset allocation is crucial for non-life insurance companies. The most previous studies focused on this … utility. As non-life insurance company is a complex system, it has many stakeholders other than shareholders. So, the … technical efficiency of European non-life insurance companies. The empirical application conducts a comparison between the …

experiments are carried out on a set of portfolios to be optimized for an EU-based non-life insurance company. Both performance …