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Choi, Hak - 2016

Nash (1951) claimed that every game must have a solution, even if it means a mixed strategy. His method is to find a probability that equalizes the two expected payoffs. Though simple, the calculation can be tedious. To avoid unnecessary mistake, this paper works out an algorithm to do the...

Persistent link: https://www.econbiz.de/10012999956

Envelope condition method with an application to default risk models

Arellano, Cristina; Maliar, Lilia; Maliar, Serguei; … - In: Journal of economic dynamics & control 69 (2016), pp. 436-459

Persistent link: https://www.econbiz.de/10011708605

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

Determination of weights for an optimal credit rating model based on default and nondefault distance maximization

Chi, Guotai; Yuan, Kunpeng; Zhou, Ying; Gong, Lingling - In: The journal of risk model validation 14 (2020) 4, pp. 65-87

Persistent link: https://www.econbiz.de/10014336043

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

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 hard black-box optimization problems (problems in which the objective … solved in order to obtain the optimal output of the reinsurance. The application of traditional optimization approaches is …

Persistent link: https://www.econbiz.de/10010338035

An inclusive criterion for an optimal choice of reinsurance

El Attar, Abderrahim; El Hachloufi, Mostafa; Guennoun, … - In: Annals of financial economics 12 (2017) 4, pp. 1-22

Persistent link: https://www.econbiz.de/10011850387

Variations of particle swarm optimization for obtaining classification rules applied to credit risk in financial institutions of Ecuador

Jimbo Santana, Patricia; Lanzarini, Laura; Bariviera, … - In: Risks : open access journal 8 (2020) 1/2, pp. 1-14

Knowledge generated using data mining techniques is of great interest for organizations, as it facilitates tactical and strategic decision making, generating a competitive advantage. In the special case of credit granting organizations, it is important to clearly define rejection/approval...

Persistent link: https://www.econbiz.de/10012204352