An asset liability management model for casualty insurers: Complexity reduction vs. parameterized decision rules

DOI10.1023/A:1019223800849zbMath0990.90082OpenAlexW313013311MaRDI QIDQ5933837

Petter E. de Lange, Alexei A. Gaivoronski

Publication date: 14 June 2001

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1019223800849

zbMATH Keywords

stochastic optimizationvalue of informationflexible versus parameterized decision policiesrisk preferencesscenario aggregation

Mathematics Subject Classification ID

Large-scale problems in mathematical programming (90C06) Stochastic programming (90C15)

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