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Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem

Azcue, Pablo; Muler, Nora - In: Mathematical Methods of Operations Research 77 (2013) 2, pp. 177-206

We consider in this paper that the reserve of an insurance company follows the classical model, in which the aggregate claim amount follows a compound Poisson process. Our goal is to minimize the ruin probability of the company assuming that the management can invest dynamically part of the...

Persistent link: https://www.econbiz.de/10010999524

Mean-variance portfolio selection for a non-life insurance company

Delong, Łukasz; Gerrard, Russell - In: Mathematical Methods of Operations Research 66 (2007) 2, pp. 339-367

We consider a collective insurance risk model with a compound Cox claim process, in which the evolution of a claim intensity is described by a stochastic differential equation driven by a Brownian motion. The insurer operates in a financial market consisting of a risk-free asset with a constant...

Persistent link: https://www.econbiz.de/10010999574

Dual methods for probabilistic optimization problems<Superscript>*</Superscript>

Dentcheva, Darinka; Lai, Bogumila; Ruszczyński, Andrzej - In: Mathematical Methods of Operations Research 60 (2004) 2, pp. 331-346

We consider nonlinear stochastic optimization problems with probabilistic constraints. The concept of a p-efficient point of a probability distribution is used to derive equivalent problem formulations, and necessary and sufficient optimality conditions. We analyze the dual functional and its...

Persistent link: https://www.econbiz.de/10010999538

A duality approach to problems of combined stopping and deciding under constraints

Balzer, Thomas; Janßen, Klaus - In: Mathematical Methods of Operations Research 55 (2002) 3, pp. 431-446

to show that there is no duality gap between the primal constrained optimization problem and the dual problem involving …

Persistent link: https://www.econbiz.de/10010999654

Set-valued duality theory for multiple objective linear programs and application to mathematical finance

Heyde, Frank; Löhne, Andreas; Tammer, Christiane - In: Mathematical Methods of Operations Research 69 (2009) 1, pp. 159-179

We develop a duality theory for weakly minimal points of multiple objective linear programs which has several … are hyperplanes. As in other set-valued (but not in vector-valued) approaches, there is no duality gap in the case that … in a complete lattice. Thus the duality theory has a high degree of analogy to its classical counterpart. Another …

Persistent link: https://www.econbiz.de/10010999730

Increasing quasiconcave co-radiant functions with applications in mathematical economics

Martínez-Legaz, Juan Enrique; Rubinov, Alexander M.; … - In: Mathematical Methods of Operations Research 61 (2005) 2, pp. 261-280

coradiant quasiconcave increasing functions. We use this generator to examine two duality schemes for these functions: classical … duality often used in microeconomic analysis and a more recent duality concept. Some possible applications to the theory of …

Persistent link: https://www.econbiz.de/10010999761

Generalized benefit functions and measurement of utility

Briec, Walter; Gardères, Philippe - In: Mathematical Methods of Operations Research 60 (2004) 1, pp. 101-123

also make a connection to the expenditure function through Fenchel duality theory and derive a duality result from Lemaire …

Persistent link: https://www.econbiz.de/10010949929

Multiple Fund Investment Situations and Related Games

Wintein, Stefan; Borm, Peter; Hendrickx, Ruud; Quant, … - In: Mathematical Methods of Operations Research 63 (2006) 3, pp. 413-426

This paper deals with interactive multiple fund investment situations, in which investors can invest their capital in a number of funds. The investors, however, face some restrictions. In particular, the investment opportunities of an investor depend on the behaviour of the other investors....

Persistent link: https://www.econbiz.de/10010949983

Saddle points and scalarizing sets in multiple objective linear programming

Gourion, Daniel; Luc, Dinh - In: Mathematical Methods of Operations Research 80 (2014) 1, pp. 1-27

The main purpose of this paper is to study saddle points of the vector Lagrangian function associated with a multiple objective linear programming problem. We introduce three concepts of saddle points and establish their characterizations by solving suitable systems of equalities and...

Persistent link: https://www.econbiz.de/10010950134