Applying simulation optimization to the asset allocation of a property-casualty insurer
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Publication:992636
DOI10.1016/J.EJOR.2010.04.012zbMATH Open1205.91167OpenAlexW2048085933MaRDI QIDQ992636FDOQ992636
Authors: Tzu-Yi Yu, Chenghsien Tsai, Hsiao-Tzu Huang 
Publication date: 9 September 2010
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2010.04.012
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Applications of mathematical programming (90C90) Corporate finance (dividends, real options, etc.) (91G50)
Cites Work
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- Optimal consumption and portfolio policies when asset prices follow a diffusion process
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Cited In (6)
- Dynamic portfolio management for property and casualty insurance
- Risk- and value-based management for non-life insurers under solvency constraints
- Genetic-algorithm-based simulation optimization considering a single stochastic constraint
- Systems simulation analysis and optimization of insurance business
- Coupling a memetic algorithm to simulation models for promising multi-period asset allocations
- Title not available (Why is that?)
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