Risk processes with rare dependent claims are studied. Problems of estimation of the small probability of bankruptcy and selection of an optimal portfolio of insurance contracts are considered. The Monte Carlo method and stochastic optimization technique are applied for their solution
The risk or value process of an insurance company, modelled by a Cramer-Lundberg model, is supposed ...
Summary. We review recent results on the new concept of worst-case portfolio optimization, i.e. we c...
We investigate a portfolio optimization problem under the threat of a market crash, where the intere...
Risk process with rare dependent catastrophic claims are studied. Problems of estimation of small pr...
Catastrophes produce rare and highly correlated insurance claims, which depend on the amount of cove...
Catastrophes produce losses highly correlated in space and time, which break the law of large number...
The main objective of this thesis is to build a multi-stage stochastic pro- gram within an asset-lia...
Catastrophes produce losses highly correlated in space and time, which break the law of large number...
The paper considers models and approaches to the analysis and decision making under catastrophic ris...
The paper is devoted to finding the present value of catastrophe bonds using a combination of Monte ...
The increasing number of natural catastrophes leads to severe losses for production, in infrastructu...
This paper investigates goal-reaching problems regarding optimal investment and proportional reinsur...
Stochastic optimization is an effective tool for analyzing decision problems under uncertainty. In s...
Planning regional economic developments and social welfare without addressing issues related to miti...
Stochastic modeling of the reserve surplus of an insurance business plays a critical role in the fou...
The risk or value process of an insurance company, modelled by a Cramer-Lundberg model, is supposed ...
Summary. We review recent results on the new concept of worst-case portfolio optimization, i.e. we c...
We investigate a portfolio optimization problem under the threat of a market crash, where the intere...
Risk process with rare dependent catastrophic claims are studied. Problems of estimation of small pr...
Catastrophes produce rare and highly correlated insurance claims, which depend on the amount of cove...
Catastrophes produce losses highly correlated in space and time, which break the law of large number...
The main objective of this thesis is to build a multi-stage stochastic pro- gram within an asset-lia...
Catastrophes produce losses highly correlated in space and time, which break the law of large number...
The paper considers models and approaches to the analysis and decision making under catastrophic ris...
The paper is devoted to finding the present value of catastrophe bonds using a combination of Monte ...
The increasing number of natural catastrophes leads to severe losses for production, in infrastructu...
This paper investigates goal-reaching problems regarding optimal investment and proportional reinsur...
Stochastic optimization is an effective tool for analyzing decision problems under uncertainty. In s...
Planning regional economic developments and social welfare without addressing issues related to miti...
Stochastic modeling of the reserve surplus of an insurance business plays a critical role in the fou...
The risk or value process of an insurance company, modelled by a Cramer-Lundberg model, is supposed ...
Summary. We review recent results on the new concept of worst-case portfolio optimization, i.e. we c...
We investigate a portfolio optimization problem under the threat of a market crash, where the intere...
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