Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming

DOI10.1007/s10287-018-0328-7zbMath1483.91183OpenAlexW2810156477WikidataQ129630467 ScholiaQ129630467MaRDI QIDQ1989739

Giorgio Consigli, Vittorio Moriggia, Lorenzo Mercuri, Sebastiano Vitali

Publication date: 29 October 2018

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2434/580373

zbMATH Keywords

risk capital allocationdynamic stochastic programmingproperty and casualty liabilitiesreturn on risk-adjusted capitalsurplus investment return

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39) Actuarial mathematics (91G05)

Related Items (1)

Evaluation of scenario reduction algorithms with nested distance

Cites Work

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