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On parallel asset-liability management in life insurance: a forward risk-neutral approach.
Stefania Corsaro
Pasquale L. De Angelis
Zelda Marino
Francesca Perla
Paolo Zanetti
Published in:
Parallel Comput. (2010)
Keyphrases
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risk neutral
asset liability management
risk averse
stochastic programming
risk aversion
multistage
linear program
utility function
risk management
risk sensitive
financial institutions
long term
multi class
fraud detection