Insurance portfolio optimization

At the present day, the concept of profitability has gained much importance as well as the premium production and growth in the insurance market. In order to make a progress towards the profitability, insurance companies should prefer to set a balance strategy between premium production and profit by taking the branches with positive loss ratios into consideration instead of merely orienting to the branches with high premium revenue.In this study the maximization problem is defined, which is needed by a non-life insurance company to bring the profitability into the desired level by satisfying various constraints at the same time. Problem looks for the optimal numbers of policies to be sold and finds the best solution with simulation. The problem that is modelled is prepared with real market data and analysis of three different cases is made.