We develop portfolio optimization problems to a non-life insurance company for finding the minimum capital required, which simultaneously satisfy solvency and portfolio performance constraints. Motivated by standard insurance regulations, we consider solvency capital requirements based on three...

Optimal risk transfers are derived within an insurance group consisting of two separate legal entities, operating under potentially different regulatory capital requirements and capital costs. Consistently with regulatory practice, capital requirements for each entity are computed by either a...

Quantifying the economic capital and optimally allocating it into portfolios of financial instruments are two key topics in the asset/liability management (ALM) of an insurance company. In general these problems are studied in the literature by minimizing standard risk measures such as the value...

The optimal insurance problem represents a fast growing topic that explains the most efficient contract that an insurance player may get. The classical problem investigates the ideal contract under the assumption that the underlying risk distribution is known, i.e. by ignoring the parameter and...