A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry

DOI10.1287/opre.2020.2098zbMath1490.91165OpenAlexW3145569670MaRDI QIDQ5031612

János Mayer, Karl Schmedders, Lucio Fernandez-Arjona, Maximilian Adelmann

Publication date: 16 February 2022

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

Full work available at URL: https://doi.org/10.1287/opre.2020.2098

zbMATH Keywords

portfoliolinear programminginsuranceSolvency IIout-of-sample testsreplicating portfoliosliability cash flows

Mathematics Subject Classification ID

Linear programming (90C05) Portfolio theory (91G10) Actuarial mathematics (91G05)

Uses Software

• PRMLT

Cites Work

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• Guaranteed Annuity Options
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• Norms for Smoothing and Estimation
• The elements of statistical learning. Data mining, inference, and prediction