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Optimal portfolio choice with crash and default risk
Müller, Lukas - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-31
Persistent link: https://www.econbiz.de/10013371220
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Systemic risk-efficient asset allocations : Minimization of systemic risk as a network optimization problem
Pichler, Anton; Poledna, Sebastian; Thurner, Stefan - In: Journal of financial stability 52 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012745456
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What is the minimal systemic risk in financial exposure networks?
Diem, Christian; Pichler, Anton; Thurner, Stefan - In: Journal of economic dynamics & control 116 (2020), pp. 1-28
Persistent link: https://www.econbiz.de/10012503232
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Risikoanalysen und Risikobeurteilungen mit einem Matrixverfahren : zusammenfassende Interpretation von Daten
Bützer, Peter - 1992
Persistent link: https://www.econbiz.de/10000893080
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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
Persistent link: https://www.econbiz.de/10003564155
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On a combination of convex risk minimization methods
Christmann, Andreas - In: Classification - the ubiquitous challenge : proceedings …, (pp. 434-441). 2005
Persistent link: https://www.econbiz.de/10003569550
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An enumeration algorithm for integer-valued data envelopment analysis
Alirezaee, Mohammad-Reza; Sani, Mohammad-Reza Rafiee - In: International transactions in operational research : … 18 (2011) 6, pp. 729-740
Persistent link: https://www.econbiz.de/10009380535
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Managing longevity risk
Li, Hong - 2015
Persistent link: https://www.econbiz.de/10011373370
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Effectively tackling reinsurance problems by using evolutionary and swarm intelligence algorithms
Salcedo-Sanz, Sancho; Carro-Calvo, Leo; Claramunt, Mercè; … - In: Risks : open access journal 2 (2014) 2, pp. 132-145
This paper is focused on solving different hard optimization problems that arise in the field of insurance and, more specifically, in reinsurance problems. In this area, the complexity of the models and assumptions considered in the definition of the reinsurance rules and conditions produces...
Persistent link: https://www.econbiz.de/10010338035
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Modelling and management of longevity risk : approximations to survivor functions and dynamic hedging
Cairns, Andrew - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 438-453
Persistent link: https://www.econbiz.de/10009404687