Insurance Exposure and Investment Risks: An Analysis Using Chance-Constrained Programming

DOI10.1287/OPRE.22.5.991zbMATH Open0292.90056OpenAlexW1977053650MaRDI QIDQ4044387FDOQ4044387

Authors: Howard E. Thompson, John P. Matthews, Bob C. L. Li 

Publication date: 1974

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.22.5.991

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of mathematical programming (90C90) Stochastic programming (90C15)

Cited In (2)

• Determination of the portfolio selection for a property-liability insurance company
• Evaluating solvency versus efficiency performance and different forms of organization and marketing in US property -- liability insurance companies.

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