ALM for insurers with multiple underwriting lines and portfolio constraints: a Lagrangian duality approach (Q6552668)
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scientific article; zbMATH DE number 7862457
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ALM for insurers with multiple underwriting lines and portfolio constraints: a Lagrangian duality approach |
scientific article; zbMATH DE number 7862457 |
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ALM for insurers with multiple underwriting lines and portfolio constraints: a Lagrangian duality approach (English)
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10 June 2024
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asset-liability management
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multiline insurance
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portfolio optimization
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CRRA utility
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convex duality
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multi-dimensional jump-diffusions
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insurance risks
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