Some mathematical aspects of price optimisation
From MaRDI portal
Publication:4583609
DOI10.1080/03461238.2017.1357654zbMath1416.91184arXiv1605.05814OpenAlexW3126145909MaRDI QIDQ4583609
Yizhou Bai, Maissa Tamraz, Gildas Ratovomirija, Enkelejd Hashorva
Publication date: 31 August 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1605.05814
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimal non-life reinsurance under Solvency II regime
- Efficient risk allocation within a non-life insurance group under Solvency II regime
- Nonlinear optimization with engineering applications
- Sequential quadratic programming for large-scale nonlinear optimization
- On an exact penalty function method for nonlinear mixed discrete programming problems and its applications in search engine advertising problems
- Optimal reinsurance in the presence of counterparty default risk
- Linear and nonlinear programming
- Optimal risk transfer under quantile-based risk measurers
- Parisian ruin of self-similar Gaussian risk processes
- Optimal reinsurance arrangements in the presence of two reinsurers
- Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process
- Optimal insurance and reinsurance policies chosen jointly in the individual risk model
- Capital requirements and optimal investment with solvency probability constraints
- A tree-search algorithm for mixed integer programming problems
This page was built for publication: Some mathematical aspects of price optimisation
