{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,20]],"date-time":"2026-05-20T17:26:01Z","timestamp":1779297961657,"version":"3.51.4"},"reference-count":32,"publisher":"Springer Science and Business Media LLC","issue":"3-4","license":[{"start":{"date-parts":[[2018,6,26]],"date-time":"2018-06-26T00:00:00Z","timestamp":1529971200000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"funder":[{"DOI":"10.13039\/501100009882","name":"Regione Lombardia","doi-asserted-by":"crossref","award":["11630-2014"],"award-info":[{"award-number":["11630-2014"]}],"id":[{"id":"10.13039\/501100009882","id-type":"DOI","asserted-by":"crossref"}]},{"DOI":"10.13039\/501100001824","name":"Czech Science Foundation GACR","doi-asserted-by":"crossref","award":["18-01781Y"],"award-info":[{"award-number":["18-01781Y"]}],"id":[{"id":"10.13039\/501100001824","id-type":"DOI","asserted-by":"crossref"}]},{"name":"MIUR Italia","award":["ex 60% 2017-2018"],"award-info":[{"award-number":["ex 60% 2017-2018"]}]},{"name":"MIUR Italia","award":["ex60% 2016-2017"],"award-info":[{"award-number":["ex60% 2016-2017"]}]}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Comput Manag Sci"],"published-print":{"date-parts":[[2018,10]]},"DOI":"10.1007\/s10287-018-0328-7","type":"journal-article","created":{"date-parts":[[2018,6,26]],"date-time":"2018-06-26T04:49:17Z","timestamp":1529988557000},"page":"599-632","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":9,"title":["Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming"],"prefix":"10.1007","volume":"15","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-7718-347X","authenticated-orcid":false,"given":"Giorgio","family":"Consigli","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Vittorio","family":"Moriggia","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Sebastiano","family":"Vitali","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Lorenzo","family":"Mercuri","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2018,6,26]]},"reference":[{"issue":"4","key":"328_CR1","doi-asserted-by":"publisher","first-page":"730","DOI":"10.1016\/j.jbankfin.2009.06.012","volume":"34","author":"P Alessandri","year":"2010","unstructured":"Alessandri P, Drehmann M (2010) An economic capital model integrating credit and interest rate risk in the banking book. J Bank Finance 34(4):730\u2013742","journal-title":"J Bank Finance"},{"issue":"3","key":"328_CR2","doi-asserted-by":"publisher","first-page":"203","DOI":"10.1111\/1467-9965.00068","volume":"9","author":"P Artzner","year":"1999","unstructured":"Artzner P, Delbaen F, Eber JM, Heath D (1999) Coherent measures of risk. Math Finance 9(3):203\u2013228","journal-title":"Math Finance"},{"key":"328_CR3","series-title":"International Series in Operations Research & Management Science","volume-title":"Stochastic Optimization Methods in Finance and Energy","year":"2011","unstructured":"Bertocchi M, Consigli G, Dempster MAH (eds) (2011) Handbook on stochastic optimization methods in finance and energy. Fred Hillier International Series in Operations Research and Management Science. Springer, New York"},{"issue":"1","key":"328_CR4","doi-asserted-by":"publisher","first-page":"235","DOI":"10.1016\/j.insmatheco.2007.02.006","volume":"42","author":"A Buch","year":"2008","unstructured":"Buch A, Dorfleitner G (2008) Coherent risk measures, coherent capital allocations and the gradient allocation principle. Insur Math Econ 42(1):235\u2013242","journal-title":"Insur Math Econ"},{"issue":"11","key":"328_CR5","doi-asserted-by":"publisher","first-page":"3001","DOI":"10.1016\/j.jbankfin.2011.04.001","volume":"35","author":"A Buch","year":"2011","unstructured":"Buch A, Dorfleitner G, Wimmer M (2011) Risk capital allocation for rorac optimization. J Bank Finance 35(11):3001\u20133009","journal-title":"J Bank Finance"},{"issue":"1","key":"328_CR6","doi-asserted-by":"publisher","first-page":"24","DOI":"10.1287\/inte.24.1.29","volume":"24","author":"DR Cari\u00f1o","year":"1994","unstructured":"Cari\u00f1o DR, Kent T, Myers DH, Stacy C, Sylvanus M, Turner AL, Watanabe K, Ziemba WT (1994) The Russel\u2013Yasuda\u2013Kasai model: an asset-liability model for a japanese insurance company using multistage stochastic programming. Interfaces 24(1):24\u201349","journal-title":"Interfaces"},{"key":"328_CR7","unstructured":"CEA (2016) Cea statistics no. 45. European Insurance in Figures, pp 1\u201354. \n                    www.insuranceeurope.eu"},{"key":"328_CR8","doi-asserted-by":"publisher","first-page":"131","DOI":"10.1023\/A:1018992620909","volume":"81","author":"G Consigli","year":"1998","unstructured":"Consigli G, Dempster MAH (1998) Dynamic stochastic programming for asset-liability management. Ann Oper Res 81:131\u2013162","journal-title":"Ann Oper Res"},{"key":"328_CR9","first-page":"99","volume-title":"Handbook on stochastic optimization methods in finance and energy, Fred Hillier International Series in Operations Research and Management Science","author":"G Consigli","year":"2011","unstructured":"Consigli G, di Tria M, Gaffo M, Iaquinta G, Moriggia V, Uristani A (2011) Dynamic portfolio management for property and casualty insurance, chap 5. In: Bertocchi M, Consigli G, Dempster M (eds) Handbook on stochastic optimization methods in finance and energy, Fred Hillier International Series in Operations Research and Management Science. Springer, New York, pp 99\u2013124"},{"issue":"8","key":"328_CR10","doi-asserted-by":"publisher","first-page":"1265","DOI":"10.1080\/14697688.2010.518154","volume":"12","author":"G Consigli","year":"2012","unstructured":"Consigli G, Iaquinta G, Moriggia V (2012) Path-dependent scenario trees for multistage stochastic programmes in finance. Quant Finance 12(8):1265\u20131281","journal-title":"Quant Finance"},{"key":"328_CR11","doi-asserted-by":"publisher","first-page":"59","DOI":"10.1016\/S0378-4266(99)00053-9","volume":"24","author":"M Crouhy","year":"2000","unstructured":"Crouhy M, Galai D, Mark R (2000) A comparative analysis of current credit risk models. J Bank Finance 24:59\u2013117","journal-title":"J Bank Finance"},{"key":"328_CR12","first-page":"161","volume":"5","author":"S Das","year":"1996","unstructured":"Das S, Tufano P (1996) Pricing credit-sensitive debt when interest rates, credit ratings and credit spreads are stochastic. J Financ Eng 5:161\u2013198","journal-title":"J Financ Eng"},{"issue":"5","key":"328_CR13","doi-asserted-by":"publisher","first-page":"991","DOI":"10.1016\/S0165-1889(03)00055-1","volume":"28","author":"PE Lange de","year":"2004","unstructured":"de Lange PE, Fleten SE, Gaivoronski AA (2004) Modeling financial reinsurance in the casualty insurance business via stochastic programming. J Econ Dyn Control 28(5):991\u20131012","journal-title":"J Econ Dyn Control"},{"issue":"1","key":"328_CR14","doi-asserted-by":"publisher","first-page":"137","DOI":"10.1017\/S1357321700004153","volume":"9","author":"MAH Dempster","year":"2003","unstructured":"Dempster MAH, Germano M, Medova EA, Villaverde M (2003) Global asset liability management. Br Actuar J 9(1):137\u2013195","journal-title":"Br Actuar J"},{"key":"328_CR15","doi-asserted-by":"publisher","first-page":"1","DOI":"10.21314\/JOR.2001.053","volume":"4","author":"M Denault","year":"2001","unstructured":"Denault M (2001) Coherent allocation of risk capital. J Risk 4:1\u201334","journal-title":"J Risk"},{"issue":"2","key":"328_CR16","doi-asserted-by":"publisher","first-page":"44","DOI":"10.1080\/10920277.2003.10596084","volume":"7","author":"JM Dhaene","year":"2003","unstructured":"Dhaene JM, Goovaerts MJ, Kaas R (2003) Economic capital allocation derived from risk measures. N Am Actuar J 7(2):44\u201356","journal-title":"N Am Actuar J"},{"key":"328_CR17","doi-asserted-by":"publisher","first-page":"25","DOI":"10.1023\/A:1019206915174","volume":"100","author":"J Dupa\u010dov\u00e1","year":"2000","unstructured":"Dupa\u010dov\u00e1 J, Consigli G, Wallace SW (2000) Scenarios for multistage stochastic programmes. Ann Oper Res 100:25\u201353","journal-title":"Ann Oper Res"},{"key":"328_CR18","unstructured":"European Parliament (2009) European Parliament, Solvency II Directive. \n                    http:\/\/eur-lex.europa.eu\/LexUriServ\/LexUriServ.do?uri=OJ:L:2009:335:0001:0155:EN:PDF"},{"key":"328_CR19","doi-asserted-by":"publisher","first-page":"55","DOI":"10.1007\/978-1-4757-6594-6_3","volume-title":"Stochastic optimization: algorithms and applications","author":"AA Gaivoronski","year":"2001","unstructured":"Gaivoronski AA, Hoyland K, de Lange PE (2001) Statutory regulation of casualty insurance companies: an example from Norway with stochastic programming analysis. In: Uryasev S, Pardalos PM (eds) Stochastic optimization: algorithms and applications, vol 54. Kluwer Academic Publisher, Dordrecht, pp 55\u201385"},{"key":"328_CR20","volume-title":"Value at risk: a new benchmark for measuring derivatives risk","author":"P Jorion","year":"1996","unstructured":"Jorion P (1996) Value at risk: a new benchmark for measuring derivatives risk. Irwin Professional Pub, Burr Ridge"},{"key":"328_CR21","unstructured":"Maume-Deschamps V, Rulli\u00e8re D, Said K (2015) A risk management approach to capital allocation. arXiv preprint \n                    arXiv:1506.04125"},{"issue":"2","key":"328_CR22","doi-asserted-by":"publisher","first-page":"45","DOI":"10.3905\/jpm.23.2.45","volume":"23","author":"F Modigliani","year":"1997","unstructured":"Modigliani F, Modigliani L (1997) Risk-adjusted performance. J Portf Manag 23(2):45\u201354","journal-title":"J Portf Manag"},{"key":"328_CR23","unstructured":"Mulvey JM, Erkan HG (2003) Simulation for risk management: risk management of a P\/C insurance company scenario generation, simulation and optimization. In: Proceedings of the 35th conference on Winter simulation: driving innovation, pp 364\u2013371"},{"key":"328_CR24","doi-asserted-by":"publisher","first-page":"503","DOI":"10.1137\/1.9780898718799.ch25","volume-title":"Applications of stochastic programming","author":"JM Mulvey","year":"2005","unstructured":"Mulvey JM, Erkan HG (2005) Decentralized risk management for global property and casualty insurance companies. In: Wallace S, Ziemba W (eds) Applications of stochastic programming. SIAM, Philadelphia, pp 503\u2013530"},{"key":"328_CR25","first-page":"543","volume-title":"Handbook of asset and liability management: applications and case studies","author":"JM Mulvey","year":"2007","unstructured":"Mulvey JM, Pauling B, Britt S, Morin F (2007) Dynamic financial analysis for multinational insurance companies. In: Zenios S, Ziemba W (eds) Handbook of asset and liability management: applications and case studies, vol 2. North Holland, Amsterdam, pp 543\u2013589"},{"key":"328_CR26","unstructured":"NAIC P\/C RBC working group and others (1992) Property-casualty risk-based capital requirement a conceptual framework"},{"key":"328_CR27","doi-asserted-by":"publisher","DOI":"10.1142\/6478","volume-title":"Modeling, measuring and managing risk","author":"GC Pflug","year":"2007","unstructured":"Pflug GC, Roemisch W (2007) Modeling, measuring and managing risk, vol 20. World Scientific, Singapore"},{"key":"328_CR28","doi-asserted-by":"publisher","first-page":"161","DOI":"10.1007\/s10589-005-2058-3","volume":"32","author":"GC Pflug","year":"2005","unstructured":"Pflug GC, Ruszczynski A (2005) Measuring risk for income streams. Comput Optim Appl 32:161\u2013178","journal-title":"Comput Optim Appl"},{"key":"328_CR29","volume-title":"Value at risk and bank capital management: risk adjusted performances, capital management and capital allocation decision making","author":"F Saita","year":"2010","unstructured":"Saita F (2010) Value at risk and bank capital management: risk adjusted performances, capital management and capital allocation decision making. Academic Press, Boca Raton"},{"issue":"3","key":"328_CR30","doi-asserted-by":"publisher","first-page":"312","DOI":"10.1016\/j.jfi.2006.12.004","volume":"16","author":"NM Stoughton","year":"2007","unstructured":"Stoughton NM, Zechner J (2007) Optimal capital allocation using raroc and eva. J Financ Intermed 16(3):312\u2013342","journal-title":"J Financ Intermed"},{"key":"328_CR31","unstructured":"Tasche D (2007) Capital allocation to business units and sub-portfolios: the Euler principle. arXiv preprint \n                    arXiv:0708.2542"},{"key":"328_CR32","unstructured":"Weindorfer B (2012) A practical guide to the use of the chain ladder method in non-life insurance. Research Papers of the Bfi Working Paper 77, University of Applie Sc bfi Vienna, pp 1\u201322"}],"container-title":["Computational Management Science"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s10287-018-0328-7\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10287-018-0328-7.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10287-018-0328-7.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,6,25]],"date-time":"2019-06-25T19:20:07Z","timestamp":1561490407000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s10287-018-0328-7"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2018,6,26]]},"references-count":32,"journal-issue":{"issue":"3-4","published-print":{"date-parts":[[2018,10]]}},"alternative-id":["328"],"URL":"https:\/\/doi.org\/10.1007\/s10287-018-0328-7","relation":{},"ISSN":["1619-697X","1619-6988"],"issn-type":[{"value":"1619-697X","type":"print"},{"value":"1619-6988","type":"electronic"}],"subject":[],"published":{"date-parts":[[2018,6,26]]},"assertion":[{"value":"30 September 2017","order":1,"name":"received","label":"Received","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"18 June 2018","order":2,"name":"accepted","label":"Accepted","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"26 June 2018","order":3,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}}]}}