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Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint.

Alessandro StainoEmilio RussoMassimo CostabileArturo Leccadito
Published in: Comput. Manag. Sci. (2023)
Keyphrases
  • semi parametric
  • robust optimization
  • input data