Risk- and value-based management for non-life insurers under solvency constraints
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Publication:1754147
DOI10.1016/j.ejor.2017.10.030zbMath1403.91194OpenAlexW3121734133MaRDI QIDQ1754147
Nadine Gatzert, Johanna Eckert
Publication date: 30 May 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2017.10.030
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A marginal indemnity function approach to optimal reinsurance under the Vajda condition ⋮ A comparison of tail dependence estimators ⋮ Optimal reinsurance design under solvency constraints ⋮ Heterogeneous Premiums for Homogeneous Risks? Asset Liability Management under Default Probability and Price-Demand Functions ⋮ Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: a mixed-integer multistage stochastic model and a moving-horizon approach ⋮ Bayesian value-at-risk backtesting: the case of annuity pricing
Uses Software
Cites Work
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