A bi-level optimization mode for the asset-liability management of insurance companies

Xiaowei CHEN*, Qianlong LIU, Dan RALESCU

*Corresponding author for this work

Research output: Working paperPreprintpeer-review

Abstract

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.
Original languageEnglish
Publication statusAccepted/In press - 2022

Bibliographical note

Forthcoming article in Journal of Industrial and Management Optimization (ISSN: 1547-5816 | eISSN: 1553-166X)

Keywords

  • Asset-liability management
  • Bi-level optimization
  • Uncertainty theory
  • Bilevel programming

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