Seeking the Profitability-Risk-Competitiveness Frontier Using a Genetic Algorithm
نویسنده
چکیده
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.
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