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Photo du rédacteurHélène Dufour

A Numerical Investigation of Non-Convex Reinsurance Problems Using a Method of Homotopy Optimization with Perturbations and Ensembles

This paper addresses actuarial challenges in insurance by developing a user-friendly algorithm for optimal reinsurance decisions, balancing capital efficiency and asset/liability management. It combines expert judgment with quantitative methods, overcoming computational barriers for non-specialists. The techniques can be applied to broader risk management problems in insurance.


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