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  • Search: subject:"penalty function"
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Year of publication
Subject
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Theorie 26 Theory 26 penalty function 22 Penalty function 21 Mathematical programming 15 Mathematische Optimierung 14 Stochastic process 10 Stochastischer Prozess 10 Risiko 9 Risk 9 Risk model 9 Finanzmathematik 8 Mathematical finance 8 Risikomodell 8 Punishment 6 Strafe 6 Estimation theory 5 Exact penalty function 5 Schätztheorie 5 Compound Poisson risk model 4 Gerber–Shiu discounted penalty function 4 Nonlinear programming 4 Absolute ruin 3 Actuarial mathematics 3 Bootstrap method 3 Copula 3 DSGE models 3 Estimation 3 Gerber-Shiu expected discounted penalty function 3 Global convergence 3 Impact assessment 3 Restricted dissimilarity function 3 Schock 3 Semi-infinite programming 3 Shock 3 Simulation 3 VAR model 3 VAR-Modell 3 Versicherungsmathematik 3 Wirkungsanalyse 3
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Online availability
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Undetermined 63 Free 15
Type of publication
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Article 78 Book / Working Paper 12
Type of publication (narrower categories)
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Article in journal 37 Aufsatz in Zeitschrift 37 Working Paper 3 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Article 1 Congress Report 1 research-article 1
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Language
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Undetermined 45 English 44 German 1
Author
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Kolasa, Marcin 3 Lin, Jin-Guan 3 Liu, Qian 3 Park, Chuljin 3 Traxler, Christian 3 Westermaier, Franz 3 Wohlschlegel, Ansgar 3 Zhang, Zhimin 3 Badescu, Andrei L. 2 Bao, Zhenhua 2 Brzoza-Brzezina, Michał 2 Chen, Jia 2 Cheung, Eric C. K. 2 Cheung, Eric C.K. 2 Damjanovic, Tatiana 2 Dumrongrittikul, Taya 2 Gao, Jiti 2 Heilpern, Stanislaw 2 Huang, Chao 2 Li, Bo 2 Li, Shuanming 2 Liu, He 2 Loxton, Ryan 2 Makarski, Krzysztof 2 Meng, Zhiqing 2 Schmidli, Hanspeter 2 Shen, Rui 2 Tsai, Shing Chih 2 Ulph, David 2 Wang, Changyu 2 Wang, Kaibo 2 Xu, Xinsheng 2 Yang, Hailiang 2 Yang, Xinmin 2 Yeh, Arthur B. 2 Yu, Wenguang 2 ANTCZAK, TADEUSZ 1 Agnihothram, G. 1 Ahmad, Izhar 1 Alam, Masud 1
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Institution
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Department of Econometrics and Business Statistics, Monash Business School 3 Centre pour la Recherche Économique et ses Applications (CEPREMAP) 1 Narodowy Bank Polski 1 Saïd Business School, Oxford University 1 School of Economics and Finance, University of St. Andrews 1 University of Bonn, Germany 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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Journal of Global Optimization 8 Insurance: Mathematics and Economics 6 Insurance / Mathematics & economics 5 Computational Optimization and Applications 4 Economic modelling 3 International journal of production research 3 Monash Econometrics and Business Statistics Working Papers 3 Computational Economics 2 Computers & operations research : and their applications to problems of world concern ; an international journal 2 European Journal of Operational Research 2 European journal of operational research : EJOR 2 Psychometrika 2 Scandinavian actuarial journal 2 Statistics & Probability Letters 2 Applied economics 1 Asia-Pacific Journal of Operational Research (APJOR) 1 Astin bulletin : the journal of the International Actuarial Association 1 Bulletin of the Czech Econometric Society 1 CESifo Working Paper 1 CESifo working papers 1 Computational Statistics 1 Computational Statistics & Data Analysis 1 Discussion Paper Serie A 1 Discussion Paper Series, Department of Economics 1 Dynare Working Papers 1 Economic Modelling 1 European Journal of Industrial Engineering 1 Informatica Economica 1 International Journal of Applied Management Science 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of applied management science 1 International journal of business excellence 1 International journal of forecasting 1 Journal of Multivariate Analysis 1 Journal of Risk and Financial Management 1 Journal of econometrics 1 Journal of mathematical finance 1 Journal of public economics 1 Journal of risk and financial management : JRFM 1 MPRA Paper 1
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Source
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RePEc 47 ECONIS (ZBW) 39 EconStor 2 BASE 1 Other ZBW resources 1
Showing 61 - 70 of 90
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On the convergence of a smoothed penalty algorithm for semi-infinite programming
Liu, Qian; Wang, Changyu; Yang, Xinmin - In: Computational Statistics 78 (2013) 2, pp. 203-220
_\rho (0>\rho \le 1)$$ penalty functions. On base of the smoothed penalty function, we present a feasible penalty algorithm for … properties for the algorithm based upon a subclass of smooth approximations to the exact $$l_\rho $$ penalty function. Finally …
Persistent link: https://www.econbiz.de/10010847937
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A second-order smooth penalty function algorithm for constrained optimization problems
Xu, Xinsheng; Meng, Zhiqing; Sun, Jianwu; Huang, Liguo; … - In: Computational Optimization and Applications 55 (2013) 1, pp. 155-172
> exact penalty function for constrained optimization problems(COP). Error estimations among the optimal objective values of …
Persistent link: https://www.econbiz.de/10010998326
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A unified analysis of claim costs up to ruin in a Markovian arrival risk model
Cheung, Eric C.K.; Feng, Runhuan - In: Insurance: Mathematics and Economics 53 (2013) 1, pp. 98-109
claim costs until ruin. However, it does not appear that the Gerber–Shiu function ϕ with a generalized penalty function …
Persistent link: https://www.econbiz.de/10011046642
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Exactness and algorithm of an objective penalty function
Meng, Zhiqing; Dang, Chuangyin; Jiang, Min; Xu, Xinsheng; … - In: Journal of Global Optimization 56 (2013) 2, pp. 691-711
Penalty function is an important tool in solving many constrained optimization problems in areas such as industrial … design and management. In this paper, we study exactness and algorithm of an objective penalty function for inequality … constrained optimization. In terms of exactness, this objective penalty function is at least as good as traditional exact penalty …
Persistent link: https://www.econbiz.de/10010680603
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Some results on absolute ruin in the perturbed insurance risk model with investment and debit interests
Yu, Wenguang - In: Economic Modelling 31 (2013) C, pp. 625-634
of the present value of all dividends until absolute ruin and the Gerber–Shiu expected discounted penalty function are …
Persistent link: https://www.econbiz.de/10010636271
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A note on killing with applications in risk theory
Ivanovs, Jevgenijs - In: Insurance: Mathematics and Economics 52 (2013) 1, pp. 29-34
It is often natural to consider defective or killed stochastic processes. Various observations continue to hold true for this wider class of processes yielding more general results in a transparent way without additional effort. We illustrate this point with an example from risk theory by...
Persistent link: https://www.econbiz.de/10010603200
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In search of inclusive growth : the role of economic institutions and policy
Kumah, Francis Y.; Sandy, Mathew - In: Modern economy 4 (2013) 11, pp. 758-775
Persistent link: https://www.econbiz.de/10010257998
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On the convergence of a smoothed penalty algorithm for semi-infinite programming
Liu, Qian; Wang, Changyun; Yang, Xinmin - In: Mathematical methods of operations research 78 (2013) 2, pp. 203-220
Persistent link: https://www.econbiz.de/10010205321
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Some results on absolute ruin in the perturbed insurance risk model with investment and debit interests
Yu, Wenguang - In: Economic modelling 31 (2013), pp. 625-634
Persistent link: https://www.econbiz.de/10009731474
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Standard bi-quadratic optimization problems and unconstrained polynomial reformulations
Bomze, Immanuel; Ling, Chen; Qi, Liqun; Zhang, Xinzhen - In: Journal of Global Optimization 52 (2012) 4, pp. 663-687
Persistent link: https://www.econbiz.de/10010845840
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