A large-scale optimization model for replicating portfolios in the life insurance industry
Maximilian Adelmann, Lucio Fernandez-Arjona, Janos Mayer, Karl Schmedders
| Year of publication: |
2021
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|---|---|
| Authors: | Adelmann, Maximilian ; Fernandez-Arjona, Lucio ; Mayer, János ; Schmedders, Karl |
| Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 69.2021, 4, p. 1134-1157
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| Subject: | insurance regulation | liability cash flows | linear programming | out-of-sample tests | Solvency II | Lebensversicherung | Life insurance | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Versicherung | Insurance | Portfolio-Management | Portfolio selection | Betriebliche Liquidität | Corporate liquidity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2020.2098 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012625163