In this paper we study the problems of pricing and optimizing sidecar and collateralized reinsurance portfolios. The academic literature on sidecar portfolio optimization that takes into account the ...
Course in stochastic optimization with an emphasis on formulating, solving, and approximating optimization models under uncertainty. Topics include: Models and applications: extensions of the linear ...
Research areas: Healthcare optimization under uncertainty, Large-scale optimization, stochastic programming, decomposition-based integer programming algorithms (Benders decomposition, Lagrangian ...
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