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Stable solutions for optimal reinsurance problems involving risk measures

Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: European journal of operational research : EJOR 214 (2011) 3, pp. 796-804

Persistent link: https://www.econbiz.de/10009316167

Optimal robust insurance with a finite uncertainty set

Asimit, Alexandru V.; Hu, Junlei; Xie, Yuantao - In: Insurance / Mathematics & economics 87 (2019), pp. 67-81

Persistent link: https://www.econbiz.de/10012058915

Multi-constrained optimal reinsurance model from the duality perspectives

Cheung, Ka Chun; He, Wanting; Wang, He - In: Insurance / Mathematics & economics 113 (2023), pp. 199-214

Persistent link: https://www.econbiz.de/10014466212

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 …. Another example where risk is exchanged for a fixed price is swap contracts. Electricity futures can be seen as swaps where …: 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

Scenario generation for single-period portfolio selection problems with tail risk measures : coping with high dimensions and integer variables

Fairbrother, Jamie; Turner, Amanda; Wallace, Stein W. - In: INFORMS journal on computing : JOC 30 (2018) 3, pp. 472-491

Persistent link: https://www.econbiz.de/10011948065

A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures

Rysz, Maciej; Vinel, Alexander; Krokhmal, Pavlo; … - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 416-430

Persistent link: https://www.econbiz.de/10011291285

f-Betas and portfolio optimization with f-divergence induced risk measures

Ding, Rui - In: Quantitative finance 23 (2023) 10, pp. 1483-1496

Persistent link: https://www.econbiz.de/10014419172

Analysis of risk measures in multiobjective optimization portfolios with cardinality constraint

Cardoso, Rodrigo T. N.; Barroso, Bruno Cândido; … - In: Revista Brasileira de Finanças : RBFin 17 (2019) 3, pp. 26-46

Persistent link: https://www.econbiz.de/10012221265

Dynamic hedging in incomplete markets using risk measures

Gaillardetz, Patrice; Hachem, Saeb - In: IMA journal of management mathematics 33 (2022) 2, pp. 345-367

Persistent link: https://www.econbiz.de/10012798787

A continuous selection for optimal portfolios under convex risk measures does not always exist

Baes, Michel; Munari, Cosimo-Andrea - In: Mathematical methods of operations research : ZOR 91 (2020) 1, pp. 5-23

Persistent link: https://www.econbiz.de/10012229500