التفاصيل البيبلوغرافية
| العنوان: |
A BI-LEVEL OPTIMIZATION MODEL FOR THE ASSET-LIABILITY MANAGEMENT OF INSURANCE COMPANIES. |
| المؤلفون: |
XIAOWEI CHEN1 chenx@nankai.edu.cn, QIANLONG LIU2 qianlongliu@ln.edu.hk, RALESCU, DAN A.3 ralescd@ucmail.uc.edu |
| المصدر: |
Journal of Industrial & Management Optimization. Apr2023, Vol. 19 Issue 4, p3003-3019. 17p. |
| مصطلحات موضوعية: |
*ASSET-liability management, *INSURANCE companies, *INVESTMENT products, BILEVEL programming, INFORMATION modeling |
| مستخلص: |
Different from traditional asset-liability management where only investment allocation is considered, this paper introduces policy product allocation into asset-liability management of insurance companies. In order to balance product allocation and investment allocation, a bi-level optimization model is employed. Since the decision-making environment of the two allocation processes is full of indeterminacy, the imprecise information of the model is measured by uncertain variables in order to deal with the lack of enough historical data. To solve this bi-level Optimization problem containing uncertain variables, an uncertain bilevel programming model is used. Furthermore, we simulate a scenario to compare the bi-level optimization approach with other approaches by virtue of hybrid intelligent algorithms. [ABSTRACT FROM AUTHOR] |
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| قاعدة البيانات: |
Business Source Index |
