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An evolutionary strategy for multiobjective reinsurance optimization

Román, Sebastián; Villegas, Andrés M.; Villegas, Juan G. - In: Journal of the Operational Research Society 69 (2018) 10, pp. 1661-1677

Persistent link: https://www.econbiz.de/10012229185

Quantifying distributional model risk via optimal transport

Blanchet, Jose; Murthy, Karthyek - In: Mathematics of operations research 44 (2019) 2, pp. 565-600

Persistent link: https://www.econbiz.de/10012028635

Quantifying Distributional Model Risk Via Optimal Transport

Blanchet, Jose - 2016

This paper deals with the problem of quantifying the impact of model misspecification when computing general expected values of interest. The methodology that we propose is applicable in great generality, in particular, we provide examples involving path-dependent expectations of stochastic...

Persistent link: https://www.econbiz.de/10012995307

Optimal deterministic investment strategies for insurers

Bäuerle, Nicole; Rieder, Ulrich - In: Risks : open access journal 1 (2013) 3, pp. 101-118

We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to …

Persistent link: https://www.econbiz.de/10010199019

Robust and Pareto optimality of insurance contracts

Asimit, Alexandru V.; Bignozzi, Valeria; Cheung, Ka Chun; … - In: European journal of operational research : EJOR 262 (2017) 2, pp. 720-732

Persistent link: https://www.econbiz.de/10011798900

Pricing cataastrophe bonds with multistage stochastic programming

Georgiopoulos, Nick - In: Computational Management Science : CMS 14 (2017) 3, pp. 297-312

Persistent link: https://www.econbiz.de/10011710821

A biased-randomized algorithm for optimizing efficiency in parametric earthquake (Re) insurance solutions

Bayliss, Christopher; Guidotti, Roberto; … - In: Computers & operations research : and their … 123 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012286309

Merton investment problems in finance and insurance for the Hawkes-Based models

Sviščuk, Anatolij - In: Risks : open access journal 9 (2021) 6, pp. 1-13

insurance (Propositions 1 and 2), i.e., for a wealth portfolio X(t) consisting of a bond and a stock price described by general … compound Hawkes process (GCHP), and for a capital R(t) (risk process) of an insurance company with the amount of claims … results in finance and insurance for those models. …

Persistent link: https://www.econbiz.de/10012598381

Optimal insurance contract specification in the upstream sector of the oil and gas industry

Torraca, Ana Patrícia; Fanzeres, Bruno - In: European journal of operational research : EJOR 295 (2021) 2, pp. 718-732

Persistent link: https://www.econbiz.de/10013205999

Robust pricing in insurance and energy markets

Escobar Luna-Barrera, Debora Daniela - 2019

scenarios. Insurance companies carry the risk of losses in exchange for a premium, which depends on the loss distribution … model ambiguity. First of all, we study the theoretical properties of the distortion principle for insurance pricing. We …: the average value-at-risk and power distortion principle. In the second part of this thesis, we bring together insurance …

Persistent link: https://www.econbiz.de/10012392510