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Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with conditional value-at-risk (CVaR) constraint - MaRDI portal

Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with conditional value-at-risk (CVaR) constraint (Q6088771)

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scientific article; zbMATH DE number 7778015
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English
Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with conditional value-at-risk (CVaR) constraint
scientific article; zbMATH DE number 7778015

    Statements

    title
    Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with conditional value-at-risk (CVaR) constraint (English)
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    author
    Alessandro Staino
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    Emilio Russo
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    Massimo Costabile
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    Arturo Leccadito
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    publication date
    14 December 2023
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    zbMATH Keywords
    non-life insurance
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    capital requirement
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    conditional value-at-risk
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    convex optimization
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    Identifiers

    zbMATH DE Number
    7778015
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    OpenAlex ID
    W4323042419
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