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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

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

Reducing transaction costs for interest rate risk hedging with stochastic programming

Blomvall, Jörgen; Hagenbjörk, Johan - In: European journal of operational research : EJOR 302 (2022) 3, pp. 1282-1293

Persistent link: https://www.econbiz.de/10013363855

Model and efficient algorithm for the portfolio selection problem with real-world constraints under value-at-risk measure

Hooshmand, F.; Anoushirvani, Z.; MirHassani, S. A. - In: International transactions in operational research : a … 30 (2023) 5, pp. 2665-2690

Persistent link: https://www.econbiz.de/10014261204

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

Risk modeling, assessment, and management

Haimes, Yacov - 2016 - Fourth Edition

"Examines the multidisciplinary applications, problems, and case histories in risk modeling, assessment, and management … This book examines risk analysis, focusing on quantifying risk and constructing probability in conjunction with real … material (extreme events and the partitioned multi-objective risk method; multi-objective decision-tree analysis; multi …

Persistent link: https://www.econbiz.de/10011332807

Risk management under Omega measure

Metel, Michael R.; Pirvu, Traian A.; Wong, Julian - In: Risks : open access journal 5 (2017) 2, pp. 1-14

We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is then explored, with an active-set algorithm presented...

Persistent link: https://www.econbiz.de/10011643419

Volatility vs. downside risk : optimally protecting against drawdowns and maintaining portfolio performance

Barro, Diana; Canestrelli, Elio; Lanza, Fabio - 2014

Persistent link: https://www.econbiz.de/10011632160

Optimisation approach to target costing under uncertainty with application to ICT-service

Becker, Denis M.; Gaivoronski, Alexei A. - In: International journal of production research 56 (2018) 5, pp. 1904-1917

Persistent link: https://www.econbiz.de/10011872292

Uncertainty representation and risk management for direct segmented marketing

Pachamanova, Dessislava A.; Lo, Victor S.; Gülpınar, … - In: Journal of marketing management : JMM ; journal of the … 36 (2020) 1/2, pp. 149-175

Persistent link: https://www.econbiz.de/10012178695