Stochastic dominance provides a rigorous method to compare uncertain prospects without imposing restrictive assumptions on investor risk preferences, thus offering an alternative to traditional ...

In this paper we study the problems of pricing and optimizing sidecar and collateralized reinsurance portfolios. The academic literature on sidecar portfolio optimization that takes into account the ...

Research areas: Healthcare optimization under uncertainty, Large-scale optimization, stochastic programming, decomposition-based integer programming algorithms (Benders decomposition, Lagrangian ...

Course in stochastic optimization with an emphasis on formulating, solving, and approximating optimization models under uncertainty. Topics include: Models and applications: extensions of the linear ...