Bogdan V. Norkin – Optimization Online

Stochastic Optimization Models of Insurance Mathematics

Published: 2019/10/12

Finance and Economics, Multi-Criteria Optimization, Stochastic Programming dynamic programming, insurance mathematics, mixed-integer programming, multi-criteria problems, probabilistic constraints, risk process, ruin probability, stochastic optimal control, stochastic programming, two-stage tasks

The paper overviews stochastic optimization models of insurance mathematics and methods for their solution from the point of view of stochastic programming and stochastic optimal control methodology, with vector optimality criteria. The evolution of an insurance company’s capital is considered in discrete time. The main random variables, which influence this evolution, are levels of payments, … Read more

Sample approximations of multiobjective stochastic optimization problems

Published: 2014/11/22

Bogdan V. Norkin

Finance and Economics, Multi-Criteria Optimization, Stochastic Programming approximate pareto optimality, multiobjective stochastic optimization, optimization of insurance business, parallel monte carlo method, random search, sample approximation

The article describes approximation technique for solving multiobjective stochastic optimization problems. As a generalized model of a stochastic system to be optimized a vector “input — random output” system is used. Random outputs are converted into a vector of deterministic performance/risk indicators. The problem is to find those inputs that correspond to Pareto-optimal values of … Read more