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Campo DC | Valor | Lengua/Idioma |
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dc.contributor.author | bayliss, christopher | - |
dc.contributor.author | Serra Plomer, Martí | - |
dc.contributor.author | Nieto Ranero, Armando Miguel | - |
dc.contributor.author | Juan, Angel A. | - |
dc.contributor.other | Universitat Oberta de Catalunya (UOC) | - |
dc.contributor.other | Universitat Oberta de Catalunya. Internet Interdisciplinary Institute (IN3) | - |
dc.contributor.other | University of Liverpool | - |
dc.contributor.other | Divina Pastora Seguros | - |
dc.date.accessioned | 2021-01-26T08:35:58Z | - |
dc.date.available | 2021-01-26T08:35:58Z | - |
dc.date.issued | 2020-12-04 | - |
dc.identifier.citation | Bayliss, C., Serra, M., Nieto. A., Juan, A. A.(2020). Combining a matheuristic with simulation for Risk management of stochastic assets and liabilities. Risks, 8(4). pág. 1-14. doi: 10.3390/risks8040131 | - |
dc.identifier.issn | 2227-9091MIAR | - |
dc.identifier.uri | http://hdl.handle.net/10609/127050 | - |
dc.description.abstract | Specially in the case of scenarios under uncertainty, the efficient management of risk when matching assets and liabilities is a relevant issue for most insurance companies. This paper considers such a scenario, where different assets can be aggregated to better match a liability (or the other way around), and the goal is to find the asset-liability assignments that maximises the overall benefit over a time horizon. To solve this stochastic optimisation problem, a simulation-optimisation methodology is proposed. We use integer programming to generate efficient asset-to-liability assignments, and Monte-Carlo simulation is employed to estimate the risk of failing to pay due liabilities. The simulation results allow us to set a safety margin parameter for the integer program, which encourage the generation of solutions satisfying a minimum reliability threshold. A series of computational experiments contribute to illustrate the proposed methodology and its utility in practical risk management. | en |
dc.language.iso | eng | - |
dc.publisher | Risks | - |
dc.relation.ispartof | Risks, 2020, 8(4) | - |
dc.relation.uri | https://doi.org/10.3390/risks8040131 | - |
dc.rights | CC BY | - |
dc.rights.uri | http://creativecommons.org/licenses/by/3.0/es/ | - |
dc.subject | assets and liabilities management | en |
dc.subject | risk management | en |
dc.subject | uncertainty | en |
dc.subject | matheuristics | en |
dc.subject | simulation | en |
dc.subject | gestión de activos y pasivos | es |
dc.subject | gestión de riesgos | es |
dc.subject | incertidumbre | es |
dc.subject | matemáticas | es |
dc.subject | simulación | es |
dc.subject | gestió d'actius i passius | ca |
dc.subject | gestió de riscos | ca |
dc.subject | incertesa | ca |
dc.subject | matemàtiques | ca |
dc.subject | simulació | ca |
dc.subject.lcsh | Electronic data processing | en |
dc.title | Combining a matheuristic with simulation for risk management of stochastic assets and liabilities | - |
dc.type | info:eu-repo/semantics/article | - |
dc.subject.lemac | Informàtica | ca |
dc.subject.lcshes | Informática | es |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
dc.identifier.doi | 10.3390/risks8040131 | - |
dc.gir.id | AR/0000008466 | - |
dc.type.version | info:eu-repo/semantics/publishedVersion | - |
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