Title :
Uncertain portfolio selection for insurer
Author :
Xiaoxia Huang ; Chen Yao
Author_Institution :
Sch. of Econ. & Manage., Univ. of Sci. & Technol. Beijing, Beijing, China
Abstract :
This paper discusses the uncertain portfolio selection problem for the insurer. A new model is proposed assuming that the return rates of risky securities are uncertain variables. Then the crisp forms of the model are given. Finally, each result of two numerical examples shows the application of the model.
Keywords :
insurance; stock markets; insurer; risky security return rates; uncertain portfolio selection; Insurance; Investments; Measurement uncertainty; Numerical models; Portfolios; Security; Uncertainty; insurance company; portfolio selection; uncertain programming; uncertain variable;
Conference_Titel :
Fuzzy Systems and Knowledge Discovery (FSKD), 2011 Eighth International Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-61284-180-9
DOI :
10.1109/FSKD.2011.6019684
