Quadratic Unconstrained Binary Optimization Approach for Incorporating Solvency Capital into Portfolio Optimization

In this paper, we consider the inclusion of the solvency capital requirement (SCR) into portfolio optimization by the use of a quadratic proxy model. The Solvency II directive requires insurance companies to calculate their SCR based on the complete loss distribution for the upcoming year. Since thi...

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Bibliografiset tiedot

Päätekijät:	Ivica Turkalj, Mohammad Assadsolimani, Markus Braun, Pascal Halffmann, Niklas Hegemann, Sven Kerstan, Janik Maciejewski, Shivam Sharma, Yuanheng Zhou
Aineistotyyppi:	Artigo
Kieli:	Inglês
Julkaistu:	MDPI AG 2024-01-01
Sarja:	Risks
Aiheet:	solvency II quadratic unconstrained binary optimization portfolio optimization proxy modeling
Linkit:	https://www.mdpi.com/2227-9091/12/2/23
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