Narrow search
Showing 1 - 10 of 678,373
Cover Image
Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
Liu, Haiyan; Mao, Tiantian - In: Insurance / Mathematics & economics 107 (2022), pp. 393-417
Persistent link: https://www.econbiz.de/10013471260
Cover Image
Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
Paç, A. Burak; Pınar, Mustafa Ç. - In: Top : transactions in operations research 22 (2014) 3, pp. 875-891
Persistent link: https://www.econbiz.de/10010437113
Cover Image
Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming
Shapiro, Alexander - In: European journal of operational research : EJOR 288 (2021) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10012496519
Cover Image
Distributionally robust selection of the best
Fan, Weiwei; Hong, L. Jeff; Zhang, Xiaowei - In: Management science : journal of the Institute for … 66 (2020) 1, pp. 190-208
Persistent link: https://www.econbiz.de/10012156573
Cover Image
Robust distortion risk measures
Bernard, Carole; Pesenti, Silvana M.; Vanduffel, Steven - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 774-818
Persistent link: https://www.econbiz.de/10014565274
Cover Image
Strong formulations for distributionally robust chance-constrained programs with left-hand side uncertainty under Wasserstein ambiguity
Nam Hoai Nguyen; Kilinç-Karzan, Fatma; Küçükyavuz, Simge - In: INFORMS journal on optimization 5 (2023) 2, pp. 211-232
Persistent link: https://www.econbiz.de/10014291950
Cover Image
Optimal robust insurance with a finite uncertainty set
Asimit, Alexandru V.; Hu, Junlei; Xie, Yuantao - In: Insurance / Mathematics & economics 87 (2019), pp. 67-81
Persistent link: https://www.econbiz.de/10012058915
Cover Image
Convex risk functionals : representation and applications
Liu, Fangda; Cai, Jun; Lemieux, Christiane; Wang, Ruodu - In: Insurance / Mathematics & economics 90 (2020), pp. 66-79
Persistent link: https://www.econbiz.de/10012169500
Cover Image
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
Cover Image
Optimal expected utility of wealth for two dependent classes of insurance business
Gosio, Cristina; Lari, Ester C.; Ravera, Marina - In: Theoretical economics letters 3 (2013) 2, pp. 90-95
Persistent link: https://www.econbiz.de/10010239638