Stochastic optimization of insurance portfolios for managing exposure to catastrophic risks
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Publication:5933836
DOI10.1023/A:1019244405392zbMath0990.90084OpenAlexW1570578847MaRDI QIDQ5933836
T. Yu. Ermolieva, Vladimir I. Norkin, Yury M. Ermoliev, Gordon J. MacDonald
Publication date: 14 June 2001
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1019244405392
nonsmooth optimizationstochastic optimizationadaptive Monte Carlocatastrophe modelinginsuranceriskruin probability
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