Listar por autor "Ferri, Enrico"
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Global Optimization for Automatic Model Points Selection in Life Insurance Portfolios
Ferreiro, Ana M.; Ferri, Enrico; García Rodríguez, José Antonio; Vázquez, Carlos (MDPI AG, 2021-02-25)[Abstract] Starting from an original portfolio of life insurance policies, in this article we propose a methodology to select model points portfolios that reproduce the original one, preserving its market risk under a ... -
Portfolio representation as applied to model points selection for ALM in life insurance
Ferri, Enrico (2018)[Abstract] The main goal of this work is represented by the study of the constrained portfolio representation problem. It consists in defining the dynamics of those portfolios within a certain class that best represents ...