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Socially responsible multiobjective optimal portfolios

Sahamkhadam, Maziar; Stephan, Andreas - In: Journal of the Operational Research Society 75 (2024) 10, pp. 2065-2076

Persistent link: https://www.econbiz.de/10015188547

Risk-averse stochastic optimal control : An efficiently computable statistical upper bound

Guigues, Vincent; Shapiro, Alexander; Cheng, Yi - In: Operations research letters 51 (2023) 4, pp. 393-400

Persistent link: https://www.econbiz.de/10014426574

Hidden semi-Markov models for rainfall-related insurance claims

Shi, Yue; Punzo, Antonio; Otneim, Håkon; Maruotti, … - 2023

Persistent link: https://www.econbiz.de/10014431361

Dual SDDP for risk-averse multistage stochastic programs

Costa, Bernardo Freitas Paulo da; Leclère, Vincent - In: Operations research letters 51 (2023) 3, pp. 332-337

Persistent link: https://www.econbiz.de/10014374928

Risk and resilience-based optimal post-disruption restoration for critical infrastructures under uncertainty

Alkhaleel, Basem A.; Liao, Haitao; Sullivan, Kelly M. - In: European journal of operational research : EJOR 296 (2022) 1, pp. 174-202

Persistent link: https://www.econbiz.de/10012820155

The natural Banach space for version independent risk measures

Pichler, Alois - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 405-415

Persistent link: https://www.econbiz.de/10010195914

Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits

Feng, Runhuan; Volkmer, Hans W. - In: Astin bulletin : the journal of the International … 44 (2014) 3, pp. 653-681

Persistent link: https://www.econbiz.de/10010407941

Risk measures in optimization problems via empirical estimates

Kaňková, Vlasta - In: Czech economic review : acta Universitatis Carolinae … 7 (2013) 3, pp. 162-177

Persistent link: https://www.econbiz.de/10010341116

Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior

Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - 2015

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed benefits. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly for insurance companies to implement and take so...

Persistent link: https://www.econbiz.de/10010464782

Risk measures and their application to staffing nonstationary service systems

Pender, Jamol - In: European journal of operational research : EJOR 254 (2016) 1, pp. 113-126

Persistent link: https://www.econbiz.de/10011503223