Content type Date Title Tags
ERM Resource Scenario Optimization for Multi-Stage Stochastic Programming Problems multi-stage stochastic programmingNo specific riskRisk Optimisation
ERM Resource Simplified stage-based modelling of multi-stage stochastic programming problems multi stage stochasticNo specific riskRisk Optimisationstage based stochasticStochastic Programming
ERM Resource Evolutionary Optimization for Decision Making under Uncertainty Evolutionary OptimizationMulti-stage Stochastic Programming.No specific riskOptimal Decision MakingOptimization under UncertaintyRisk OptimisationStochastic Programming
ERM Resource Combined Optimization of Portfolio and Risk Exposure of an Insurance Company ModellingNo specific riskportfolio optimisationrisk averse optimisationRisk Optimisation
ERM Resource Risk-minimising investment strategies conditional value-at-riskconstant proportion portfolio insurancedynamic asset allocationNo specific riskportfolio insuranceRisk Optimisationtime invariant portfolio protectionvalue-at-risk
ERM Resource CVAR proxies for minimizing scenario-based value-at-risk CVaRNo specific riskRisk OptimisationVaR
ERM Resource Risk Return Optimization with Different Risk Aggregation Strategies
Basle Capital Accord (Basel II)Capital AdequacyConditional Value at Risk (CVaR)Internal Capital Adequacy Assessment Process (ICAAP)No specific riskPortfolio optimizationPortfolio Safeguard (PSG)Return on Equity (RoE)Return on Risk Adjusted Capital (RORAC)Risk OptimisationValue at Risk (VaR)
ERM Resource Optimising Life Reinsurance strategy under risk-based capital measures Economic / Risk Based CapitalNo specific riskReinsurance strategyRisk appetiteRisk OptimisationRisk-based frameworks
ERM Resource Optimization Models for Insurance Portfolio Optimization in the Presence of Background Risk No specific riskOptimization models; insurance portfolio optimization; background riskreplicating portfolioRisk Management Tools and TechniquesRisk Optimisation
ERM Resource Optimization of the Non-Life Insurance Risk Diversification in Solvency II conditional value-at-riskdiversification factorHerfindahl-Hirschman indexmultivariate elliptical and log-elliptical risk distributionsNo specific riskRegulationRisk OptimisationSolvency II non-life riskvalue-at-risk
ERM Resource Portfolio Optimisation Using Value at Risk ModellingModern Portfolio TheoryNo specific riskPortfolio optimizationRisk Management Tools and TechniquesRisk OptimisationVaR
ERM Resource Modelling and optimization of risk coherent measures of riskmodelling of risk-averse preferencesNo specific riskRisk Management Tools and TechniquesRisk Optimisationstochastic dominanceutility theory
ERM Resource Enhancing insurer value through reinsurance, dividends and capital optimization: an expected utility approach dividendsEnterprise Risk Managementinsolvency costNo specific riskoptimal reinsurancerisk capitalRisk Optimisation
ERM Resource Reinsurance and securitisation of life insurance risk: the impact of regulatory constraints Insurance-Linked securitiesLongevity riskReinsuranceReserving RiskRisk measuresRisk OptimisationRisk sharing
ERM Resource Guaranteed Optimization in Insurance of Catastrophic Risks Catastrophe modellingCatastrophe Riskdisaster risk reductionoptimizationPremium RiskRisk OptimisationRisk sharing