Search Results - subject:"Quadratic programming problem"

Logarithmic asymptotics for probability of component-wise ruin in a two-dimensional Brownian model

Dębicki, Krzysztof; Ji, Lanpeng; Rolski, Tomasz - In: Risks 7 (2019) 3, pp. 1-21

We consider a two-dimensional ruin problem where the surplus process of business lines is modelled by a two-dimensional correlated Brownian motion with drift. We study the ruin function P(u) for the component-wise ruin (that is both business lines are ruined in an infinite-time horizon), where u...

Persistent link: https://www.econbiz.de/10013200501

Logarithmic asymptotics for probability of component-wise ruin in a two-dimensional Brownian model

Dębicki, Krzysztof; Ji, Lanpeng; Rolski, Tomasz - In: Risks : open access journal 7 (2019) 3/83, pp. 1-21

Persistent link: https://www.econbiz.de/10012127541

On the cumulative Parisian ruin of multi-dimensional Brownian motion risk models

Ji, Lanpeng - In: Scandinavian actuarial journal 2020 (2020) 9, pp. 819-842

Persistent link: https://www.econbiz.de/10012313740

Asymptotics of multivariate conditional risk measures for Gaussian risks

Ling, Chengxiu - In: Insurance / Mathematics & economics 86 (2019), pp. 205-215

Persistent link: https://www.econbiz.de/10012058863

A neural network to solve quadratic programming problems with fuzzy parameters

Mansoori, Amin; Effati, Sohrab; Eshaghnezhad, Mohammad - In: Fuzzy optimization and decision making : a journal of … 17 (2018) 1, pp. 75-101

Persistent link: https://www.econbiz.de/10012065037

Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics

Singh, Arti; Selvamuthu, Dharmaraja - In: Mathematical methods of operations research 86 (2017) 1, pp. 29-69

Persistent link: https://www.econbiz.de/10011714373

Existence of equilibrium points for bimatrix game with interval payoffs

Bhurjee, Ajay Kumar - In: International game theory review 18 (2016) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10011524523

A cutting plane approach for multi-objective integer indefinite quadratic programming problem

Arora, Ritu; Arora, S. R. - In: Opsearch : journal of the Operational Research Society … 52 (2015) 2, pp. 367-381

Persistent link: https://www.econbiz.de/10011401832