An Application of Chance-Constrained Programming to Portfolio Selection in a Casualty Insurance Firm

Agnew, N. An Application of Chance-Constrained Programming to Portfolio Selection in a Casualty Insurance Firm.

Type

Web resource

Intellectual base

Web

Link

https://www.jstor.org/stable/2628459?Search=yes&resultItemClick=true&searchText=an%20application%20of%20chance%20constrained%20programming&searchUri=%2Faction%2FdoBasicSearch%3FQuery%3Dan%2Bapplication%2Bof%2Bchance%2Bconstrained%2Bprogramming&ab_segments=0%2Fbasic_search_SYC-5455%2Fcontrol&refreqid=fastly-default%3Ac66a912b771798f92fc98226d695291d

Cited by

1 citation across 1 artifact.

Each citation links to the sentence it supports in the citing article.

Domain-specific

• Chance-constrained portfolio selection
  • … survival threshold, maximum violation probability, objective function, deterministic reformulation or numerical solver and estimation robustness and out-of-sample validation are explicit. to An applied instance preserves the invariant under changed notation, scale, dataset, jurisdiction, or implementation..

    This sourceAgnes, J. Rasmussen and K. R. Smith (1969), "An Application of Chance-Constrained Programming to Portfolio Selection in a Casualty Insurance Firm," Management Science, 15, No. 10, 512-520. [https://www.jstor.org/stable/2628459?Search=yes&resultItemClick=true&searchText=an%20application%20of%20chance%20constrained%20programming&searchUri=%2Faction%2FdoBasicSearch%3FQuery%3Dan%2Bapplication%2Bof%2Bchance%2Bconstrained%2Bprogramming&ab_segments=0%2Fbasic_search_SYC-5455%2Fcontrol&refreqid=fastly-default%3Ac66a912b771798f92fc98226d695291d]. Retrieved September 24, 2020.

Verification

Does it exist? Not checked yet. This entry carries no identifier to resolve. It was extracted from the citation as written in the article, normalized, and deduplicated against the rest of the registry.

Does it back the claim? Not recorded. The single citation of this work carries no recorded support check.

Support is checked per citation rather than per work — the same source can be cited soundly in one article and wrongly in another. Per-citation recording began recently, so a citation with no recorded check is a gap in the record rather than evidence it went unchecked.

See how references were verified.

Registry ID ref:b4997b786751 · see in the full table