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Optimal reinsurance to minimize the discounted probability of ruin under ambiguity

Li, Danping; Young, Virginia R. - In: Insurance / Mathematics & economics 87 (2019), pp. 143-152

Persistent link: https://www.econbiz.de/10012058937

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

Minimizing the probability of ruin : optimal per-loss reinsurance

Liang, Xiaoqing; Young, Virginia R. - In: Insurance / Mathematics & economics 82 (2018), pp. 181-190

Persistent link: https://www.econbiz.de/10011929867

An empirical analysis of scenario generation methods for stochastic optimization

Löhndorf, Nils - In: European journal of operational research : EJOR 255 (2016) 1, pp. 121-132

Persistent link: https://www.econbiz.de/10011530843

A tabu search algorithm for the probabilistic orienteering problem

Chou, Xiaochen; Gambardella, Luca Maria; Montemanni, Roberto - In: Computers & operations research : and their … 126 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10012425867

Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions : A Solution for Long-Only Portfolios

Shaw, William Thornton - 2010

We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. In this first paper we explore the need for more general optimization tools, and consider the means by which constrained random portfolios may be generated. A practical scheme for the...

Persistent link: https://www.econbiz.de/10013137970

Computational framework for longevity risk management

D'Amato, Valeria; Haberman, Steven; Piscopo, Gabriella; … - In: Computational Management Science : CMS 11 (2014) 1/2, pp. 111-137

Persistent link: https://www.econbiz.de/10010251207

Optimal excess-of-loss reinsurance for stochastic factor risk models

Brachetta, Matteo; Ceci, Claudia - In: Risks : open access journal 7 (2019) 2/48, pp. 1-23

premia, which take into account risk fluctuations. Using stochastic control theory based on the Hamilton …

Persistent link: https://www.econbiz.de/10012019228

A managerial accounting case utilizing optimization and simulation

Miller, Louise - In: Journal of business case studies 9 (2013) 5, pp. 381-386

Persistent link: https://www.econbiz.de/10010198567

An inclusive criterion for an optimal choice of reinsurance

El Attar, Abderrahim; El Hachloufi, Mostafa; Guennoun, … - In: Annals of financial economics 12 (2017) 4, pp. 1-22

Persistent link: https://www.econbiz.de/10011850387