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Multi-Objective Stochastic Optimization Programs for a non-Life Insurance Company under Solvency Constraints

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Figure

Figure 1. Graphical representation of the reference points (on the left) and of the normal constraint (NC) method (on the right) for a bi-objective sample optimization problem.
Table 1. Descriptive statistics for the daily asset log-returns from 3 January 2005–9 July 2011 for a total of 1714 observations: EMUTracker Government Bond Index with 1–3 year maturities (TEMGVG1); Markit iBoxx Euro Corporate Bond Index with 1–3 year matu
Table 2. Statistical tests for normality, autocorrelation and conditional heteroskedasticity relative to the daily asset log-returns from 3 January 2005–29 July 2011 for a total of 1714 observations
Table 3. Parameter estimates of the AR(1)-GJR-GARCH(1,1) model for each log-return series for the period from 3 January 2005–29 July 2011
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