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Stochastic linear programming : models, theory, and computation

Kall, Peter; Mayer, János - 2011 - 2. ed.

Persistent link: https://www.econbiz.de/10008738248

Stochastic Linear Programming : Models, Theory, and Computation

Kall, Peter - 2011 - 2

Persistent link: https://www.econbiz.de/10014275199

Stochastic linear programming

Kall, Peter - 1976

Persistent link: https://www.econbiz.de/10000048408

Stochastic programming : achievements and open problems

Kall, Peter - 2001

Persistent link: https://www.econbiz.de/10001563641

Linearly constrained estimation by mathematical programming

Klafszky, Emil - In: European journal of operational research : EJOR 42 (1989) 3, pp. 254-267

Persistent link: https://www.econbiz.de/10001082970

A large-scale optimization model for replicating portfolios in the life insurance industry

Adelmann, Maximilian; Fernandez-Arjona, Lucio; Mayer, János - 2016

Replicating portfolios have recently emerged as an important tool in the life insurance industry, used for the valuation of companies' liabilities. This paper presents a replicating portfolio (RP) model for approximating life insurance liabilities as closely as possible. We minimize the L1 error...

Persistent link: https://www.econbiz.de/10011515725