| Abstract: | An optimal asset allocation is crucial for nonlife insurance companies. The most previous studies focused on this topic use a mono‐objective technique optimization. This technique usually allows the maximization of shareholders' expected utility. As nonlife insurance company is a complex system, it has many stakeholders other than shareholders. So, the satisfaction of the shareholders' expected utility cannot lead usually to the satisfaction of other stakeholders' objectives. Therefore, the focus on utility maximization can be a destruction source of other objectives such as productivity, competitiveness and solvency. Our developed model integrates simulation approach with a multiobjective particle swarm optimization algorithm. This model insures an optimal asset allocation that maximizes, simultaneously, shareholders expected utility and technical efficiency of European nonlife insurance companies. The empirical application conducts a comparison between the attained results with multiobjective optimization technique and mono‐objective technique to search the optimal asset allocation for nonlife insurance companies. Our results show that the investment portfolio will be more diversified between most available investment assets. In addition, any decision maker should take account of different stakeholders' objectives. Accordingly, multiobjective optimization allows us to find the best asset allocation that maximizes simultaneously expected utility and technical efficiency of nonlife insurance companies. Copyright © 2013 John Wiley & Sons, Ltd. |
