A large-scale optimization model for replicating portfolios in the life insurance industry (Q5031612)
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scientific article; zbMATH DE number 7474550
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| English | A large-scale optimization model for replicating portfolios in the life insurance industry |
scientific article; zbMATH DE number 7474550 |
Statements
A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry (English)
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16 February 2022
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portfolio
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insurance
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linear programming
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liability cash flows
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out-of-sample tests
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replicating portfolios
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Solvency II
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0.7600611448287964
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0.7497016787528992
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0.7333489656448364
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0.7302521467208862
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0.7215055823326111
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