Abstract:Black-box optimization problems (BBOP) are defined as those optimization problems in which the objective function does not have an algebraic expression, but it is the output of a system (usually a computer program). This paper is focussed on BBOPs that arise in the field of insurance, and more specifically in reinsurance problems. In this area, the complexity of the models and assumptions considered to define the reinsurance rules and conditions produces hard black-box optimization problems, that must be solve… Show more
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