IDEAS home Printed from
   My bibliography  Save this article

An Application of Chance Constrained Programming to Portfolio Selection in a Casualty Insurance Firm


  • N. H. Agnew

    (System Development Corporation, Dayton, Ohio)

  • R. A. Agnew

    (Air Force Institute of Technology, WPAFB, Ohio)

  • J. Rasmussen

    (Wesleyan University, Connecticut)

  • K. R. Smith

    (University of Wisconsin)


The problem of portfolio selection is discussed with special emphasis on the casualty insurance firm. A single period optimisation model is developed in which expected return is maximized subject to a chance constraint requiring return to be greater than some lower bound with a stipulated probability. It is demonstrated that this approach provides an operational means of selecting a Baumol efficient portfolio. Additional chance constraints are used to maintain the firm's liquidity. The evaluation of optimal portfolios is discussed and the evaluators for the portfolio model are developed. Finally, an example is provided.

Suggested Citation

  • N. H. Agnew & R. A. Agnew & J. Rasmussen & K. R. Smith, 1969. "An Application of Chance Constrained Programming to Portfolio Selection in a Casualty Insurance Firm," Management Science, INFORMS, vol. 15(10), pages 512-520, June.
  • Handle: RePEc:inm:ormnsc:v:15:y:1969:i:10:p:b512-b520

    Download full text from publisher

    File URL:
    Download Restriction: no


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Dillon, John L., 1971. "An Expository Review of Bernoullian Decision Theory in Agriculture: Is Utility Futility?," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 39(01), March.
    2. Li, Susan X. & Huang, Zhimin, 1996. "Determination of the portfolio selection for a property-liability insurance company," European Journal of Operational Research, Elsevier, vol. 88(2), pages 257-268, January.
    3. Li, S. X., 1995. "An insurance and investment portfolio model using chance constrained programming," Omega, Elsevier, vol. 23(5), pages 577-585, October.

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:inm:ormnsc:v:15:y:1969:i:10:p:b512-b520. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mirko Janc). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.