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Blätter der DGVFM

, Volume 24, Issue 2, pp 437–439 | Cite as

A chance-constrained program in risk theory

  • Erhard Kremer
Leserforum
  • 14 Downloads

Summary

The problem of how to choose the quotas of the quota-share treaties is considered for a more special situation. A solution is given via stochastic optimization.

Keywords

Stochastic Programming Stochastic Optimization Loss Probability Positive Semidefinite Probabilistic Constraint 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Ein wahrscheinlichkeitsrestringiertes Programm in der Risikotheorie

Zusammenfassung

Das Problem der Wahl der Quoten von Quoten-VertrÄgen wird betrachtet für eine speziellere Situation. Eine Lösung wird gegeben via stochastischer Optimierung.

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References

  1. Collatz, L. und Wetterling, W. (1971): Optimierungsaufgaben. Springer Verlag.Google Scholar
  2. Kall, P. and Wallace, S. W. (1994): Stochastic programming. John Wiley and Sons.Google Scholar

Copyright information

© DAV/DGVFM 1999

Authors and Affiliations

  • Erhard Kremer
    • 1
  1. 1.Hamburg

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