A satisficing chance constrained model in the portfolio selection of insurance lines and investments

This paper sets out a model that simultaneously determines insurers’ satisficing compositions of their insurance and investment portfolios. This model can be explained as follows: different insurance lines and investments have different rates of return and different risks associated with those rates of return. Different insurers also have different, but satisfactory levels of return on equity and risk levels of violating the minimum requirement on cash and liquid assets. The paper proposes a chance constrained programming approach to incorporate all of these factors in the portfolio analysis.