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An Empirical-Based Approach for Optimal Reinsurance
An Empirical-Based Approach for Optimal Reinsurance It is well-known that reinsurance can be an effective ... 6000 4) pi = 600 C. Weng (c2weng@uwaterloo.ca) – p.17/23 Soln’s: CTE min & Expectation Principle ...- Authors: Ken Seng Tan, Chengguo Weng
- Date: Aug 2009
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Modeling & Statistical Methods; Reinsurance
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Coherent Distortion Risk Measures in Portfolio Selection
formulations of CVaR portfolio selection problems. Fa´bia´n [17] considered CVaR objectives and constraints in two-stage ... 1−Sl(l(2)) · · · p(m) 1−Sl(l(m−1)) = 1 . (17) Since portfolio losses are discretely distributed ...- Authors: Ken Seng Tan, Mingbin Feng
- Date: Jan 2012
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Modeling & Statistical Methods; Public Policy
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Coherent Distortion Risk Measures in Portfolio Selection
Coherent Distortion Risk Measures in Portfolio Selection The theme of this presentation relates ... parameter for Min-CDRM and vice versa. Ming Bin Feng 17/ 37 Introduction CDRM Optimization Case Studies ...- Authors: Ken Seng Tan, Mingbin Feng
- Date: Jan 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods; Reinsurance