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来源类型Article
规范类型其他
DOI10.1080/02331930008844480
Insurability of catastrophic risks: The stochastic optimization model.
Ermoliev YM; Ermolieva TY; MacDonald GJ; Norkin VI
发表日期2000
出处Optimization 47 (3): 251-265
出版年2000
语种英语
摘要Catastrophes produce losses highly correlated in space and time, which break the law of large numbers. We derive the insurability of dependent catastrophic risks by calculating conditions that would aid insurers in deliberate selection of their portfolios. This paper outlines the general structure of a basic stochastic optimization model. Connections between the probability of ruin and nonsmooth risk functions, as well as adaptive Monte Carlo optimization procedures and path dependent laws of large numbers, are discussed
主题Risk, Modeling, Policy (RMP) ; Social Security Reform (SSR)
关键词Stochastic Optimization, Catastrophic Risk, Portfolio Selection, Ruin Probability, Nonsmooth Risk Functions, Adaptive Monte Carlo Optimization, Path-Dependent Laws Of Large Numbers,
URLhttp://pure.iiasa.ac.at/id/eprint/6038/
来源智库International Institute for Applied Systems Analysis (Austria)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/127960
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Ermoliev YM,Ermolieva TY,MacDonald GJ,et al. Insurability of catastrophic risks: The stochastic optimization model.. 2000.
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