MIN-MAD life: A multi-period optimization model for life insurance company investment decisions

DOI10.1016/0167-6687(83)90017-3zbMath0511.62111OpenAlexW2013951488MaRDI QIDQ1838809

Abraham I. Brodt

Publication date: 1983

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(83)90017-3

zbMATH Keywords

optimizationlife insuranceportfolio theorymean absolute deviationinvestmentsasset managementMIN-MAD life modelmultiperiod planning-horizon

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Linear programming (90C05)

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