Optimal excess-of-loss reinsurance under borrowing constraints.

Shangzhen Luo Michael Taksar

Published in: Risk Decis. Anal. (2010)

Keyphrases

database systems
optimal solution
linear constraints
computer vision
dynamic programming
constrained optimization
global constraints
finding optimal
optimality criteria
data sets
real world
knowledge base
special case
closed form
optimal strategy
reducing the search space