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To create their rankings, university-ranking agencies usually combine multiple performance measures into a composite index. However, both rankings and index scores are sensitive to the weights assigned to performance measures. This paper uses a stochastic dominance efficiency methodology to...
Persistent link: https://www.econbiz.de/10014112285
Persistent link: https://www.econbiz.de/10003592826
Using a multi-stage stochastic programming method, we suggest an optimal liability-driven investment(LDI) strategy for a closed defined-benefit pension fund including real assets. The objective is to jointly optimize contribution, funding ratio, and buyout cost, subject to a constraint on...
Persistent link: https://www.econbiz.de/10013231480
premia, which take into account risk fluctuations. Using stochastic control theory based on the Hamilton …
Persistent link: https://www.econbiz.de/10012019228
Distribution-free bootstrapping of the replicated responses of a given discreteevent simulation model gives bootstrapped Kriging (Gaussian process) metamodels; we require these metamodels to be either convex or monotonic. To illustrate monotonic Kriging, we use an M/M/1 queueing simulation with...
Persistent link: https://www.econbiz.de/10014166285
In this paper we consider the object oriented implementation of numerical algorithms where arithmetic operators (add, mult, exp) operate on objects with more complex structure (compared to floating point numbers). Examples are objects representing vectors instead of scalars, random variables,...
Persistent link: https://www.econbiz.de/10012911558
An analogue can be made between: (a) the slow pace at which species adapt to an environment, which often results in the emergence of a new distinct species out of a once homogeneous genetic pool, and (b) the slow changes that take place over time within a fund, mutating its investment style. A...
Persistent link: https://www.econbiz.de/10013092381
Kriging is a popular method for estimating the global optimum of a simulated system. Kriging approximates the input/output function of the simulation model. Kriging also estimates the variances of the predictions of outputs for input combinations not yet simulated. These predictions and their...
Persistent link: https://www.econbiz.de/10014038647
successfully adopted to credibility theory in the actuarial literature. The objective of this work is to develop robust and …
Persistent link: https://www.econbiz.de/10013054067
A new algorithm for calibrating agent-based models is proposed, which employs a popular gradient boosting framework. Machine learning techniques are not used to develop a surrogate model, but rather assist in narrowing down the parameter space during the search for optimal parameters. Our...
Persistent link: https://www.econbiz.de/10012839291