Capital requirements and optimal investment with solvency probabilityn constraints

摘要

Quantifying economic capital and optimally allocating it into portfolios of financial instruments are two key topics in the asset-liability management of an insurance company. In general, these problems are studied in the literature by minimizing standard risk measures such as the value at risk and the conditional VaR. Motivated by Solvency II regulations, we introduce a novel optimization problem to solve for the optimal required capital and the portfolio structure simultaneously, when the ruin