Optimal insurance portfolio risk-adjusted performance through dynamic stochastic programming
Giorgio Consigli, Vittorio Moriggia, Sebastiano Vitali, Lorenzo Mercuri
| Year of publication: |
October 2018
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|---|---|
| Authors: | Consigli, Giorgio ; Moriggia, Vittorio ; Vitali, Sebastiano ; Mercuri, Lorenzo |
| Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 15.2018, 3/4, p. 599-632
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| Subject: | Property and casualty liabilities | Dynamic stochastic programming | Risk capital allocation | Return on risk-adjusted capital | Surplus investment return | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Theorie | Theory | Risiko | Risk | Kapitaleinkommen | Capital income | Risikomanagement | Risk management | Risikomodell | Risk model | Mathematische Optimierung | Mathematical programming | Dynamische Optimierung | Dynamic programming | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10287-018-0328-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011923011