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Modeling financial reinsurance in the casualty insurance business via stochastic programming

  • de Lange, Petter E.
  • Fleten, Stein-Erik
  • Gaivoronski, Alexei A.

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File URL: http://www.sciencedirect.com/science/article/B6V85-49KSSJ3-1/2/a1a2f8d0680b8148d2d99cc033aeb17a
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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 28 (2004)
Issue (Month): 5 (February)
Pages: 991-1012

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Handle: RePEc:eee:dyncon:v:28:y:2004:i:5:p:991-1012
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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  1. Jens Carsten Jackwerth, 1998. "Recovering Risk Aversion from Option Prices and Realized Returns," Finance 9803002, EconWPA.
  2. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
  3. Zenios, Stavros A. & Holmer, Martin R. & McKendall, Raymond & Vassiadou-Zeniou, Christiana, 1998. "Dynamic models for fixed-income portfolio management under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 22(10), pages 1517-1541, August.
  4. De Waegenaere, Anja, 1994. "Equilibria in a mixed financial-reinsurance market with constrained trading possibilities," Insurance: Mathematics and Economics, Elsevier, vol. 15(1), pages 65-65, October.
  5. Mulvey, John & Rush, Robert & Sweeney, John, 1998. "Generating scenarios for global financial planning systems," International Journal of Forecasting, Elsevier, vol. 14(2), pages 291-298, June.
  6. Andrea Consiglio & Flavio Cocco & Stavros A. Zenios, 2001. "Asset and Liability Modeling for Participating Policies with Guarantees," Center for Financial Institutions Working Papers 00-41, Wharton School Center for Financial Institutions, University of Pennsylvania.
  7. Geman, Helyette & Yor, Marc, 1997. "Stochastic time changes in catastrophe option pricing," Insurance: Mathematics and Economics, Elsevier, vol. 21(3), pages 185-193, December.
  8. David E. Bell, 1995. "Risk, Return, and Utility," Management Science, INFORMS, vol. 41(1), pages 23-30, January.
  9. Waegenaere, Anja De, 1994. "Equilibria in a mixed financial-reinsurance market with constrained trading possibilities," Insurance: Mathematics and Economics, Elsevier, vol. 14(3), pages 205-218, July.
  10. Knut Aase, 1999. "An Equilibrium Model of Catastrophe Insurance Futures and Spreads," The Geneva Risk and Insurance Review, Palgrave Macmillan, vol. 24(1), pages 69-96, June.
  11. Klaassen, Pieter, 1997. "Discretized reality and spurious profits in stochastic programming models for asset/liability management," European Journal of Operational Research, Elsevier, vol. 101(2), pages 374-392, September.
  12. Kouwenberg, Roy, 2001. "Scenario generation and stochastic programming models for asset liability management," European Journal of Operational Research, Elsevier, vol. 134(2), pages 279-292, October.
  13. John M. Mulvey & Hercules Vladimirou, 1992. "Stochastic Network Programming for Financial Planning Problems," Management Science, INFORMS, vol. 38(11), pages 1642-1664, November.
  14. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
  15. Kjetil H√łyland & Stein W. Wallace, 2001. "Generating Scenario Trees for Multistage Decision Problems," Management Science, INFORMS, vol. 47(2), pages 295-307, February.
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