Optimal Risk Transfer: A Numerical Optimization Approach-Reference-Cited by-同舟云学术

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Optimal Risk Transfer: A Numerical Optimization Approach

Published:2018-03-28 Issue:3 Volume:22 Page:341-364
ISSN:1092-0277
Container-title:North American Actuarial Journal
language:en
Short-container-title:North American Actuarial Journal

Author:

Asimit Alexandru V.¹,Gao Tao²,Hu Junlei¹,Kim Eun-Seok³

Affiliation:

1. Cass Business School, City, University of London, London, United Kingdom

2. Department of Mathematical Sciences, University of Bath, Bath, United Kingdom

3. School of Business and Management, Queen Mary, University of London, London, United Kingdom

Funder

Committee on Knowledge Extension Research (CKER)

Society of Actuaries

Casualty Actuarial Society (CAS)

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/10920277.2017.1421472

Reference34 articles.

1. Perspectives of Risk Sharing

2. On the coherence of expected shortfall

3. Second-order cone programming

4. Primal-Dual Interior-Point Methods for Semidefinite Programming: Convergence Rates, Stability and Numerical Results

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