Essays about: "NLopt package"

Found 1 essay containing the words NLopt package.

  1. 1. Black Box Optimization Framework for Reinsurance of Large Claims

    University essay from Stockholms universitet/Statistiska institutionen

    Author : Sina Mozayyan; [2022]
    Keywords : augmented Lagrangian; constraint optimization by linear interpolation; derivative-free black box optimization; DIRECT L ; evolutionary optimization; NLopt package; mean-variance premium principle; risk management; Solvency II;

    Abstract : A framework for optimization of reinsurance strategy is proposed for an insurance company with several lines of business (LoB), maximizing the Economic Value of purchasing reinsurance. The economic value is defined as the sum of the average ceded loss, the deducted risk premium, and the reduction in the cost of capital. READ MORE