Yuri M. Ermoliev – 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 Average Approximation Method for Compound Stochastic Optimization Problems

Published: 2013/06/30, Updated: 2013/12/25

Yuri M. Ermoliev

Vladimir I. Norkin

Statistics, Stochastic Programming

The paper studies stochastic optimization (programming) problems with compound functions containing expectations and extreme values of other random functions as arguments. Compound functions arise in various applications. A typical example is a variance function of nonlinear outcomes. Other examples include stochastic minimax problems, econometric models with latent variables, and multilevel and multicriteria stochastic optimization problems. … Read more