现金流驱动的投资超出预期

IF 1.6 3区经济学 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS

Scandinavian Actuarial Journal Pub Date : 2024-07-25 DOI:10.1080/03461238.2024.2377962

Sergio Alvares Maffra, Teemu Pennanen

引用次数: 0

摘要

本文针对现金流驱动型投资提出了一个可计算的优化模型，其目的是找到资产组合，使其未来支付额能够覆盖给定的负债支付额，因为我们...

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Cashflow-driven investment beyond expectations

This paper presents a computationally tractable optimization model for cashflow-driven investment where the aim is to find asset portfolios whose future payouts cover given liability payments as we...

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来源期刊

Scandinavian Actuarial Journal MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-STATISTICS & PROBABILITY

CiteScore

3.30

自引率

11.10%

发文量

审稿时长

>12 weeks

期刊介绍： Scandinavian Actuarial Journal is a journal for actuarial sciences that deals, in theory and application, with mathematical methods for insurance and related matters. The bounds of actuarial mathematics are determined by the area of application rather than by uniformity of methods and techniques. Therefore, a paper of interest to Scandinavian Actuarial Journal may have its theoretical basis in probability theory, statistics, operations research, numerical analysis, computer science, demography, mathematical economics, or any other area of applied mathematics; the main criterion is that the paper should be of specific relevance to actuarial applications.