Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context
“We consider optimal allocation problems with Conditional Value-At-Risk (CVaR) constraint. We prove, under very mild assumptions, the...
top of page
Rechercher
19 sept.
Reinsurance with Neural Networks
The study explores an insurance company managing financial risk through reinsurance, aiming to optimize terminal wealth and minimize ruin...
13 août
Reinsurance with neural networks
“We consider an insurance company which faces financial risk in the form of insurance claims and market-dependent surplus fluctuations....
bottom of page