Dynamic Portfolio Management for Property and Casualty Insurance
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Publication:4613814
DOI10.1007/978-1-4419-9586-5_5zbMath1405.91252OpenAlexW2107420829MaRDI QIDQ4613814
Vittorio Moriggia, Michele Gaffo, Massimo di Tria, Angelo Uristani, Giorgio Consigli, Gaetano Iaquinta
Publication date: 25 January 2019
Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-4419-9586-5_5
multistage stochastic programmingasset-liability managementinsurance liabilitiesproperty and casualty insurance
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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Cites Work
- Modeling financial reinsurance in the casualty insurance business via stochastic programming
- Dynamic stochastic programming for asset-liability management
- Coherent Measures of Risk
- Path-dependent scenario trees for multistage stochastic programmes in finance
- Introduction to Stochastic Programming
- Scenarios for multistage stochastic programs
- Scenario generation and stochastic programming models for asset liability management
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