Stochastic Optimization of Insurance Portfolios for Managing Exposure to Catastrophic Risks

Yuri M. Ermoliev, Tatiana Ermolieva, Gordon J. MacDonald, Vladimir I. Norkin. Stochastic Optimization of Insurance Portfolios for Managing Exposure to Catastrophic Risks. Annals OR, 99(1-4):207-225, 2000. [doi]

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