A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry
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Publication:5031612
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
portfoliolinear programminginsuranceSolvency IIout-of-sample testsreplicating portfoliosliability cash flows
Uses Software
Cites Work
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