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Stochastic Optimization of Insurance Portfolios for Managing Exposure to Catastrophic Risks

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References

1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
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1988Numerical Techniques for Stochastic Optimization632 cited
1992Equilibrium in a Reinsurance Market562 cited
1984Risk Theory141 cited
1989Mean—Variance Analysis136 cited

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2004Dynamic Stochastic Optimization60 cited
2008Asset-liability management for Czech pension funds using stochastic programming51 cited
2015Chance-constrained problems and rare events: an importance sampling approach45 cited
2018Eventual convexity of probability constraints with elliptical distributions36 cited
2012Discounting and catastrophic risk management3 cited

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