An Application of Chance Constrained Programming to Portfolio Selection in a Casualty Insurance Firm

DOI10.1287/MNSC.15.10.B512zbMATH Open0177.23402OpenAlexW1982664930MaRDI QIDQ5566945FDOQ5566945

Authors:

Publication date: 1969

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.15.10.b512

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zbMATH Keywords

portfolio selectionconstrained programming

Mathematics Subject Classification ID

Nonlinear programming (90C30) Portfolio theory (91G10) Financial applications of other theories (91G80)

Cited In (13)

• A Satisficing Chance Constrained Model in the Portfolio Selection of Insurance Lines and Investments
• Enhanced branch-and-bound algorithm for chance constrained programs with Gaussian mixture models
• Statutory regulation of casualty insurance companies: An example from Norway with stochastic programming analysis
• Option portfolio management as a chance constrained problem
• Determination of the portfolio selection for a property-liability insurance company
• Chance constrained programming with some non-normal continuous random variables
• Goal programming to evaluate the profile of the most profitable insurers: an application to the Spanish insurance industry
• Lagrangian relaxation based heuristics for a chance-constrained optimization model of a hybrid solar-battery storage system
• A polynomial approximation-based approach for chance-constrained optimization
• A joint chance-constrained programming model with row dependence
• Stochastic optimization for blending problem in brass casting industry
• Static and dynamic VaR constrained portfolios with application to delegated portfolio management
• An approximation-based approach for chance-constrained vehicle routing and air traffic control problems

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