An insurance and investment portfolio model using chance constrained programming

An insurance and investment portfolio model is here formulated in terms of the ‘P-Models’ of Chance Constrained Programming, which is then related to the ‘satisficing concepts’ of Simon. For a given insurers' aspiration level of return on equity and risk levels of violating minimum requirements...

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Vydáno v:	Omega (Oxford) Ročník 23; číslo 5; s. 577 - 585
Hlavní autor:	Li, S.X.
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	Exeter Elsevier Ltd 01.10.1995 Elsevier Pergamon Press Pergamon Press Inc
Edice:	Omega
Témata:	Applied sciences chance constrained programming Economic models Exact sciences and technology Insurance Investments Management science Mathematical programming modeling modeling optimization portfolio analysis chance constrained programming Operational research and scientific management Operational research. Management science optimization portfolio analysis Portfolio management Portfolio theory Property liability insurance Studies portfolio analysis modeling optimization chance constrained programming Stresses Insurance Finance Empirical method Portfolio management Modeling Optimization Investment Mathematical programming
ISSN:	0305-0483, 1873-5274
On-line přístup:	Získat plný text
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