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- W2319884488 abstract "This paper contains an analysis of a portfolio model which simultaneously optimizes the investment and insurance portfolios of the property-liability insurance industry. The mathematical formulation is an extension of earlier approaches in that it permits the direct development of the envelope efficiency frontier for all levels of insurance leverage. Using data on nineteen insurance lines and two types of assets for the period 1956-1971, efficient portfolios for both unconstrained and also constrained solutions are obtained. In each case, some insurance lines tend to be consistently excluded from the optimal portfolios because of their risk-return characteristics. The implications of this effect on the availability of insurance and rate-making are discussed. Finally, in contrast to accepted practice and theory it is found that the investment policy of the firm need not necessarily become more conservative as the insurance portfolio becomes more risky. In analyzing the structure and performance of the property-liability insurance industry many approaches and measures have been used, each with its own merits. For example, Hensley [6] undertook a study of the competitive aspects of the insurance industry as well as other aspects of its structure and more recently these issues have been studied by Joskow" @default.
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- W2319884488 date "1975-12-01" @default.
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- W2319884488 title "A Portfolio Approach to the Property-Liability Insurance Industry" @default.
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- W2319884488 doi "https://doi.org/10.2307/252154" @default.
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