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Gaivoronski et al., 2000 - Google Patents

An asset liability management model for casualty insurers: complexity reduction vs. parameterized decision rules

Gaivoronski et al., 2000

Document ID
15676122725818395637
Author
Gaivoronski A
De Lange P
Publication year
Publication venue
Annals of Operations Research

External Links

Snippet

In this paper we study possibilities for complexity reductions in large scale stochastic programming problems with specific reference to the asset liability management (ALM) problem for casualty insurers. We describe a dynamic, stochastic portfolio selection model …
Continue reading at link.springer.com (other versions)

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