Dynamic Portfolio Management for Property and Casualty Insurance

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

zbMATH Keywords

multistage stochastic programmingasset-liability managementinsurance liabilitiesproperty and casualty insurance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items

Comparing stage-scenario with nodal formulation for multistage stochastic problems, Pension fund management with investment certificates and stochastic dominance

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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