Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming.
Giorgio ConsigliVittorio MoriggiaSebastiano VitaliLorenzo MercuriPublished in: Comput. Manag. Sci. (2018)
Keyphrases
- stochastic programming
- risk averse
- multistage
- risk management
- chance constrained
- linear program
- portfolio optimization
- robust optimization
- asset liability management
- dynamic programming
- decision making under uncertainty
- optimal solution
- worst case
- optimal strategy
- optimal portfolio
- decision making
- utility function
- power generation
- support vector
- investment strategies