Algorithmic Insurable Risk Portfolios

DOI10.1080/10920277.2025.2517862MaRDI QIDQ7227842zbMATH OpenFDO

Authors Edward W. Frees, Adam Butt, Peng Shi

Publication date 10 April 2026

Published in North American Actuarial Journal (Search for Journal in Brave)

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites work

• A multivariate CVaR risk measure from the perspective of portfolio risk management
• Computational statistics
• Empirical approach for optimal reinsurance design
• Equilibrium in a Reinsurance Market
• Extremal dependence concepts
• Handbook of simulation optimization
• Insurance portfolio risk retention
• Kernel estimation of quantile sensitivities
• Multivariate Insurance Portfolio Risk Retention Using the Method of Multipliers
• Optimal reinsurance designs based on risk measures: a review
• Optimal risk transfer: a numerical optimization approach
• Quantile-based risk sharing
• Quantitative enterprise risk management
• Reinsurance of multiple risks with generic dependence structures
• Second-Best Insurance Contract Design in an Incomplete Market

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