A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry (Q5031612)
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scientific article; zbMATH DE number 7474550
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry |
scientific article; zbMATH DE number 7474550 |
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A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry (English)
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16 February 2022
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portfolio
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insurance
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linear programming
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liability cash flows
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out-of-sample tests
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replicating portfolios
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Solvency II
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