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Stochastic Optimization of Insurance Portfolios for Managing Exposure to Catastrophic Risks.
Yuri M. Ermoliev
Tatiana Ermolieva
Gordon J. MacDonald
Vladimir I. Norkin
Published in:
Ann. Oper. Res. (2000)
Keyphrases
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stochastic optimization
risk management
portfolio optimization
multistage
decision making
decision support system
risk assessment
robust optimization
objective function
risk analysis
portfolio selection
multi objective
dynamic programming