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

DOI10.1287/OPRE.22.5.991MaRDI QIDQ4044387zbMATH OpenOpenAlexFDO

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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