{"id":"https://openalex.org/W2810156477","doi":"https://doi.org/10.1007/s10287-018-0328-7","title":"Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming","display_name":"Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming","publication_year":2018,"publication_date":"2018-06-26","ids":{"openalex":"https://openalex.org/W2810156477","doi":"https://doi.org/10.1007/s10287-018-0328-7","mag":"2810156477"},"language":"en","primary_location":{"id":"doi:10.1007/s10287-018-0328-7","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10287-018-0328-7","pdf_url":null,"source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"http://hdl.handle.net/2434/580373","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5074962815","display_name":"Giorgio Consigli","orcid":"https://orcid.org/0000-0002-7718-347X"},"institutions":[{"id":"https://openalex.org/I11039511","display_name":"University of Bergamo","ror":"https://ror.org/02mbd5571","country_code":"IT","type":"education","lineage":["https://openalex.org/I11039511"]}],"countries":["IT"],"is_corresponding":true,"raw_author_name":"Giorgio Consigli","raw_affiliation_strings":["Department of Management, Economics and Quantitative Methods, University of Bergamo, Via dei Caniana 2, 24127, Bergamo, Italy","Department of Management, Economics and Quantitative Methods, University of Bergamo, Bergamo, Italy"],"raw_orcid":"https://orcid.org/0000-0002-7718-347X","affiliations":[{"raw_affiliation_string":"Department of Management, Economics and Quantitative Methods, University of Bergamo, Via dei Caniana 2, 24127, Bergamo, Italy","institution_ids":["https://openalex.org/I11039511"]},{"raw_affiliation_string":"Department of Management, Economics and Quantitative Methods, University of Bergamo, Bergamo, Italy","institution_ids":["https://openalex.org/I11039511"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5082544922","display_name":"Vittorio Moriggia","orcid":"https://orcid.org/0000-0002-6798-5794"},"institutions":[{"id":"https://openalex.org/I11039511","display_name":"University of Bergamo","ror":"https://ror.org/02mbd5571","country_code":"IT","type":"education","lineage":["https://openalex.org/I11039511"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Vittorio Moriggia","raw_affiliation_strings":["Department of Management, Economics and Quantitative Methods, University of Bergamo, Via dei Caniana 2, 24127, Bergamo, Italy","Department of Management, Economics and Quantitative Methods, University of Bergamo, Bergamo, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Management, Economics and Quantitative Methods, University of Bergamo, Via dei Caniana 2, 24127, Bergamo, Italy","institution_ids":["https://openalex.org/I11039511"]},{"raw_affiliation_string":"Department of Management, Economics and Quantitative Methods, University of Bergamo, Bergamo, Italy","institution_ids":["https://openalex.org/I11039511"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5079124637","display_name":"Sebastiano Vitali","orcid":null},"institutions":[{"id":"https://openalex.org/I21250087","display_name":"Charles University","ror":"https://ror.org/024d6js02","country_code":"CZ","type":"education","lineage":["https://openalex.org/I21250087"]}],"countries":["CZ"],"is_corresponding":false,"raw_author_name":"Sebastiano Vitali","raw_affiliation_strings":["Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University in Prague, Sokolovska 83, 186 75, Prague, Czech Republic","Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University in Prague, Prague, Czech Republic"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University in Prague, Sokolovska 83, 186 75, Prague, Czech Republic","institution_ids":["https://openalex.org/I21250087"]},{"raw_affiliation_string":"Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University in Prague, Prague, Czech Republic","institution_ids":["https://openalex.org/I21250087"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5053410651","display_name":"Lorenzo Mercuri","orcid":null},"institutions":[{"id":"https://openalex.org/I189158943","display_name":"University of Milan","ror":"https://ror.org/00wjc7c48","country_code":"IT","type":"education","lineage":["https://openalex.org/I189158943"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Lorenzo Mercuri","raw_affiliation_strings":["Department of Economics, Management and Quantitative Methods, University of Milan, Via Conservatorio 7, 20122, Milan, Italy","Department of Economics, Management and Quantitative Methods, University of Milan, Milan, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, Management and Quantitative Methods, University of Milan, Via Conservatorio 7, 20122, Milan, Italy","institution_ids":["https://openalex.org/I189158943"]},{"raw_affiliation_string":"Department of Economics, Management and Quantitative Methods, University of Milan, Milan, Italy","institution_ids":["https://openalex.org/I189158943"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5074962815"],"corresponding_institution_ids":["https://openalex.org/I11039511"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":2.4905,"has_fulltext":false,"cited_by_count":11,"citation_normalized_percentile":{"value":0.9189228,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"15","issue":"3-4","first_page":"599","last_page":"632"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12394","display_name":"Insurance and Financial Risk Management","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T12394","display_name":"Insurance and Financial Risk Management","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9987999796867371,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9973999857902527,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.5458999872207642},{"id":"https://openalex.org/keywords/solvency","display_name":"Solvency","score":0.5240405201911926},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.5236629843711853},{"id":"https://openalex.org/keywords/risk-adjusted-return-on-capital","display_name":"Risk-adjusted return on capital","score":0.5015535354614258},{"id":"https://openalex.org/keywords/capital-allocation-line","display_name":"Capital allocation line","score":0.4865037798881531},{"id":"https://openalex.org/keywords/risk-measure","display_name":"Risk measure","score":0.4458756446838379},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4428950846195221},{"id":"https://openalex.org/keywords/financial-risk-management","display_name":"Financial risk management","score":0.43468064069747925},{"id":"https://openalex.org/keywords/time-horizon","display_name":"Time horizon","score":0.43171218037605286},{"id":"https://openalex.org/keywords/asset-allocation","display_name":"Asset allocation","score":0.419017493724823},{"id":"https://openalex.org/keywords/stochastic-programming","display_name":"Stochastic programming","score":0.41701990365982056},{"id":"https://openalex.org/keywords/capital-requirement","display_name":"Capital requirement","score":0.41489121317863464},{"id":"https://openalex.org/keywords/risk-analysis","display_name":"Risk analysis (engineering)","score":0.38190484046936035},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.33825790882110596},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.3294212222099304},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.3057418465614319},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.16481277346611023},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.15838360786437988},{"id":"https://openalex.org/keywords/market-liquidity","display_name":"Market liquidity","score":0.15277817845344543},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.149952232837677},{"id":"https://openalex.org/keywords/financial-capital","display_name":"Financial capital","score":0.10199129581451416},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.09200289845466614}],"concepts":[{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.5458999872207642},{"id":"https://openalex.org/C2778215004","wikidata":"https://www.wikidata.org/wiki/Q1137437","display_name":"Solvency","level":3,"score":0.5240405201911926},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.5236629843711853},{"id":"https://openalex.org/C107584723","wikidata":"https://www.wikidata.org/wiki/Q1460626","display_name":"Risk-adjusted return on capital","level":5,"score":0.5015535354614258},{"id":"https://openalex.org/C138142054","wikidata":"https://www.wikidata.org/wiki/Q5035692","display_name":"Capital allocation line","level":3,"score":0.4865037798881531},{"id":"https://openalex.org/C2781472820","wikidata":"https://www.wikidata.org/wiki/Q2154759","display_name":"Risk measure","level":3,"score":0.4458756446838379},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4428950846195221},{"id":"https://openalex.org/C43071985","wikidata":"https://www.wikidata.org/wiki/Q2906013","display_name":"Financial risk management","level":3,"score":0.43468064069747925},{"id":"https://openalex.org/C28761237","wikidata":"https://www.wikidata.org/wiki/Q7805321","display_name":"Time horizon","level":2,"score":0.43171218037605286},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.419017493724823},{"id":"https://openalex.org/C137631369","wikidata":"https://www.wikidata.org/wiki/Q7617831","display_name":"Stochastic programming","level":2,"score":0.41701990365982056},{"id":"https://openalex.org/C2864544","wikidata":"https://www.wikidata.org/wiki/Q2914988","display_name":"Capital requirement","level":3,"score":0.41489121317863464},{"id":"https://openalex.org/C112930515","wikidata":"https://www.wikidata.org/wiki/Q4389547","display_name":"Risk analysis (engineering)","level":1,"score":0.38190484046936035},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.33825790882110596},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.3294212222099304},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3057418465614319},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.16481277346611023},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.15838360786437988},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.15277817845344543},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.149952232837677},{"id":"https://openalex.org/C44750222","wikidata":"https://www.wikidata.org/wiki/Q1897397","display_name":"Financial capital","level":3,"score":0.10199129581451416},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.09200289845466614},{"id":"https://openalex.org/C58202505","wikidata":"https://www.wikidata.org/wiki/Q5035700","display_name":"Capital formation","level":4,"score":0.0},{"id":"https://openalex.org/C29122968","wikidata":"https://www.wikidata.org/wiki/Q1414816","display_name":"Incentive","level":2,"score":0.0},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1007/s10287-018-0328-7","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10287-018-0328-7","pdf_url":null,"source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:comgts:v:15:y:2018:i:3:d:10.1007_s10287-018-0328-7","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10287-018-0328-7","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:air.unimi.it:2434/580373","is_oa":true,"landing_page_url":"http://hdl.handle.net/2434/580373","pdf_url":null,"source":{"id":"https://openalex.org/S4306400516","display_name":"Archivio Istituzionale della Ricerca (Universita Degli Studi Di Milano)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I189158943","host_organization_name":"University of Milan","host_organization_lineage":["https://openalex.org/I189158943"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:aisberg.unibg.it:10446/128491","is_oa":true,"landing_page_url":"http://hdl.handle.net/10446/128491","pdf_url":null,"source":{"id":"https://openalex.org/S4377196347","display_name":"Aisberg (University of Bergamo)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I11039511","host_organization_name":"University of Bergamo","host_organization_lineage":["https://openalex.org/I11039511"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"pmh:oai:air.unimi.it:2434/580373","is_oa":true,"landing_page_url":"http://hdl.handle.net/2434/580373","pdf_url":null,"source":{"id":"https://openalex.org/S4306400516","display_name":"Archivio Istituzionale della Ricerca (Universita Degli Studi Di Milano)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I189158943","host_organization_name":"University of Milan","host_organization_lineage":["https://openalex.org/I189158943"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G5713835906","display_name":null,"funder_award_id":"18-01781Y","funder_id":"https://openalex.org/F4320321006","funder_display_name":"Grantov\u00e1 Agentura \u010cesk\u00e9 Republiky"},{"id":"https://openalex.org/G7371193473","display_name":null,"funder_award_id":"11630-2014","funder_id":"https://openalex.org/F4320326078","funder_display_name":"Regione Lombardia"}],"funders":[{"id":"https://openalex.org/F4320321006","display_name":"Grantov\u00e1 Agentura \u010cesk\u00e9 Republiky","ror":"https://ror.org/01pv73b02"},{"id":"https://openalex.org/F4320326078","display_name":"Regione Lombardia","ror":null}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":26,"referenced_works":["https://openalex.org/W131790569","https://openalex.org/W430003170","https://openalex.org/W959464100","https://openalex.org/W1481020722","https://openalex.org/W1494277681","https://openalex.org/W1620533246","https://openalex.org/W1964081086","https://openalex.org/W1987002254","https://openalex.org/W2019291268","https://openalex.org/W2022107089","https://openalex.org/W2045743413","https://openalex.org/W2047081575","https://openalex.org/W2048109340","https://openalex.org/W2081979521","https://openalex.org/W2107420829","https://openalex.org/W2118320330","https://openalex.org/W2129587297","https://openalex.org/W2144914919","https://openalex.org/W2200594044","https://openalex.org/W2491119660","https://openalex.org/W2986980483","https://openalex.org/W3122948004","https://openalex.org/W3123072482","https://openalex.org/W3123570246","https://openalex.org/W3124096932","https://openalex.org/W3145997355"],"related_works":["https://openalex.org/W1489333421","https://openalex.org/W2890455022","https://openalex.org/W85598058","https://openalex.org/W4283074626","https://openalex.org/W3123284895","https://openalex.org/W4293207624","https://openalex.org/W4210656165","https://openalex.org/W2102768855","https://openalex.org/W2370343847","https://openalex.org/W2470533892"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1}],"updated_date":"2026-03-27T05:58:40.876381","created_date":"2025-10-10T00:00:00"}
