Journal
IEEE TRANSACTIONS ON SYSTEMS MAN CYBERNETICS-SYSTEMS
Volume 52, Issue 11, Pages 6714-6728Publisher
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
DOI: 10.1109/TSMC.2021.3096013
Keywords
Insurance; Portfolios; Investment; Optimization; Computer science; Resource management; Computational modeling; Cooperative coevolution (CC); estimation of distribution algorithm (EDA); insurance portfolio; particle swarm optimization (PSO)
Funding
- National Key Research and Development Project, Ministry of Science and Technology, China [2018AAA0101300]
- National Natural Science Foundation of China [61976093, 61873097]
- Guangdong-Hong Kong Joint Innovative Platform of Big Data and Computational Intelligence [2018B050502006]
- Guangdong Natural Science Foundation Research Team [2018B030312003]
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In this article, a group insurance portfolio model is proposed for investment allocation of multiple insurance policies, with a coevolutionary estimation of distribution algorithm (EDA) utilized to solve the problem. The approach decomposes the group insurance portfolio problem into single-insured insurance portfolio problems, and cooperates with a particle swarm optimization algorithm to optimize the allocation proportions for each insured. Experimental results validate the effectiveness of the proposed approach for the group insurance portfolio problem.
With the rapid development of the insurance industry, more diverse insurance products are produced for consumers. Insurance portfolio problems have received increasing attention. While most studies focus on insurance portfolio problem for a single insured, insurance portfolio problems for a specific group of insured are even more intricate but little attention has been paid to. In this article, we propose a group insurance portfolio model for investment allocation of several insurance policies so that the total payout of the whole group can be maximized. The statistical average value of each parameter is considered in the model to approximate the expectation payout of the group insurance portfolio problem. To solve this problem, a coevolutionary estimation of distribution algorithm (EDA) utilizing the divide-and-conquer strategy is proposed. First, as the payout of each insured under a certain portfolio plan can be calculated separately, the proposed approach decomposes the group insurance portfolio problem into several single-insured insurance portfolio problems. In this way, the dimension of the optimization problem becomes lower compared to the original problem. An adaptive EDA is proposed to optimize the portfolio plan of each insured independently. Second, the group insurance portfolio problem remains a nonseparable problem since the investment amount of each insured is limited by the total investable amount of the whole group. A particle swarm optimization algorithm is adopted to cooperate with the EDA to optimize the proportion of allocation to each insured. The proposed algorithm is verified on various scenarios. The experimental results validate that the proposed approach is effective for the group insurance portfolio problem.
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