Modeling financial reinsurance in the casualty insurance business via stochastic programming

DOI10.1016/S0165-1889(03)00055-1zbMath1179.91114OpenAlexW1964081086MaRDI QIDQ951512

Stein-Erik Fleten, Alexei A. Gaivoronski, Petter E. de Lange

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(03)00055-1

zbMATH Keywords

stochastic programmingnon-linear programmingcontingent claims analysisfinancial reinsurance

Mathematics Subject Classification ID

Stochastic programming (90C15) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (3)

Dynamic Portfolio Management for Property and Casualty Insurance ⋮ Pricing Reinsurance Contracts ⋮ Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming

Uses Software

• AMPL
• MINOS

Cites Work

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