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Omega ratio optimization with actuarial and financial applications
Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: European journal of operational research : EJOR 292 (2021) 1, pp. 376-387
Persistent link: https://www.econbiz.de/10012495444
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Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance
Cai, Jun; Liu, Fangda; Yin, Mingren - In: European journal of operational research : EJOR 318 (2024) 1, pp. 310-326
Persistent link: https://www.econbiz.de/10015047732
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Constrained non-concave utility maximization : an application to life insurance contracts with guarantees
Chen, An; Hieber, Peter; Nguyen, Thai - In: European journal of operational research : EJOR 273 (2019) 3, pp. 1119-1135
Persistent link: https://www.econbiz.de/10011987696
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Mean-variance asset-liability management : cointegrated assets and insurance liability
Chiu, Mei Choi; Wong, Hoi Ying - In: European journal of operational research : EJOR 223 (2012) 3, pp. 785-793
Persistent link: https://www.econbiz.de/10009656135