ALM for insurers with multiple underwriting lines and portfolio constraints: a Lagrangian duality approach
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Publication:6552668
DOI10.1007/S40314-024-02740-4MaRDI QIDQ6552668
Camilo Castillo, Rafael Serrano
Publication date: 10 June 2024
Published in: Computational and Applied Mathematics (Search for Journal in Brave)
asset-liability managementportfolio optimizationconvex dualityinsurance risksCRRA utilitymultiline insurancemulti-dimensional jump-diffusions
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