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Scenario Optimization for Multi-Stage Stochastic Programming Problems Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22   The field of multi-stage stochastic programming provides a rich modelling framework to tackle a broad range of real-world …

Simplified stage-based modelling of multi-stage stochastic programming problems Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22 Presentation:  Multi-stage decision process optimization • Multi-stage stochastic programing - Main issues • Modelling …

Evolutionary Optimization for Decision Making under Uncertainty Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22 Optimizing decision problems under uncertainty can be done using a variety of solution methods. Soft computing and heuristic approaches …

Evolutionary Estimation of a Coupled Markov Chian Credit Risk Model Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22 There exists a range of different models for estimating and simulating credit risk transitions to optimally manage credit risk …

An Analysis of Reinsurance Optimisation in Life Insurance - Working Paper Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22 This paper considers optimal reinsurance based on an assessment of the reinsurance arrangements for a large life insurer. The …

Risk capital allocation for RORAC optimization? Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22 This paper considers the financial optimization problem of a firm with several sub-businesses striving for its optimal RORAC. An insightful example …

Deriving the optimal amount of Risk Capital for PL Insurance Companies utilising ALM Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22   Model of a P/L Insurance company based on ALM to determine the optimal level of risk capital Risk Optimisation …

Optimization of Dynamic Portfolio Insurance Model Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22   This paper establishes a dynamic portfolio insurance model under the condition of continuous time, based on Meton’s optimal investment-consumption …

Optimization Problems of Excess-of-Loss Reinsurance and Investment under the CEV Model Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22 We consider that the insurer purchases excess-of-loss reinsurance and invests its wealth in the constant …

Asset Liability Management Risk Optimisation of Insurance Portfolios Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22 Many insurance company and pension portfolios are risk inefficient. This means for a given level of risk, the financial objectives …

Understanding and communicating Risk appetite Submitted by TheSecretariat on Wed, 29/07/2015 - 13:29 Organizations encounter risk every day as they pursue their objectives. In conducting appropriate oversight, management and the board must deal with a …

How Key Risk Indicators can Sharpen Focus on Emerging Risks Submitted by TheSecretariat on Wed, 29/07/2015 - 13:29 Boards of directors have become increasingly aware of their responsibilities related to effective oversight of managements execution of …