Multi-Objective Stochastic Optimization Programs for a Non-Life Insurance Company under Solvency Constraints

Multi-Objective Stochastic Optimization Programs for a Non-Life Insurance Company under Solvency Constraints

In the paper, we introduce a multi-objective scenario-based optimization approach for chance-constrained portfolio selection problems. More specifically, a modified version of the normal constraint method is implemented with a global solver in order to generate a dotted approximation of the Pareto f...

Full description

Bibliographic Details
Main Authors: Massimiliano Kaucic, Roberto Daris
Format: Article
Language:English
Published: MDPI AG 2015-09-01
Series:Risks
Subjects:
multi-objective stochastic programming
performance indicators
chance constraint
normal constraint method
non-life insurance company
Online Access:http://www.mdpi.com/2227-9091/3/3/390

Internet

http://www.mdpi.com/2227-9091/3/3/390

Similar Items