Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with conditional value-at-risk (CVaR) constraint (Q6088771): Difference between revisions

Latest revision as of 18:19, 30 December 2024

scientific article; zbMATH DE number 7778015

Language	Label	Description	Also known as
English	Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with conditional value-at-risk (CVaR) constraint	scientific article; zbMATH DE number 7778015

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instance of

scholarly article

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title

Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with conditional value-at-risk (CVaR) constraint (English)

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Computational Management Science

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publication date

14 December 2023

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zbMATH Keywords

non-life insurance

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capital requirement

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conditional value-at-risk

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convex optimization

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10287-023-00439-1

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cites work

Application of Coherent Risk Measures to Capital Requirements in Insurance

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Coherent Measures of Risk

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Portfolio Optimization under Solvency Constraints: A Dynamical Approach

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Capital requirements and optimal investment with solvency probability constraints

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Risk Measures and Comonotonicity: A Review

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Measuring risk with multiple eligible assets

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A heuristic for moment-matching scenario generation

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Q3523756

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The Cutting-Plane Method for Solving Convex Programs

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Q2866005

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Convex Analysis

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Q4851818

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FITTING MIXTURES OF ERLANGS TO CENSORED AND TRUNCATED DATA USING THE EM ALGORITHM

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Identifiers

Mathematics Subject Classification ID

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10.1007/S10287-023-00439-1

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Sitelinks

Mathematics(1 entry)

mardi Publication:6088771

@@ Property / DOI @@
-.1007/s10287-023-00439-1
@@ Property / DOI: 10.1007/s10287-023-00439-1 / rank @@
-Normal rank
@@ Property / cites work @@
+Application of Coherent Risk Measures to Capital Requirements in Insurance
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio Optimization under Solvency Constraints: A Dynamical Approach
+Normal rank
@@ Property / cites work @@
+Capital requirements and optimal investment with solvency probability constraints
+Normal rank
@@ Property / cites work @@
+Risk Measures and Comonotonicity: A Review
@@ Property / cites work: Risk Measures and Comonotonicity: A Review / rank @@
+Normal rank
@@ Property / cites work @@
+Measuring risk with multiple eligible assets
@@ Property / cites work: Measuring risk with multiple eligible assets / rank @@
+Normal rank
@@ Property / cites work @@
+A heuristic for moment-matching scenario generation
+Normal rank
@@ Property / cites work @@
+Q3523756
@@ Property / cites work: Q3523756 / rank @@
+Normal rank
@@ Property / cites work @@
+The Cutting-Plane Method for Solving Convex Programs
+Normal rank
@@ Property / cites work @@
+Q2866005
@@ Property / cites work: Q2866005 / rank @@
+Normal rank
@@ Property / cites work @@
+Convex Analysis
@@ Property / cites work: Convex Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Q4851818
@@ Property / cites work: Q4851818 / rank @@
+Normal rank
@@ Property / cites work @@
+FITTING MIXTURES OF ERLANGS TO CENSORED AND TRUNCATED DATA USING THE EM ALGORITHM
+Normal rank
@@ Property / DOI @@
+.1007/S10287-023-00439-1
@@ Property / DOI: 10.1007/S10287-023-00439-1 / rank @@
+Normal rank