Dynamic stochastic matching problems arise in a variety of recent applications, ranging from ridesharing and online video games to kidney exchange. Such problems are naturally formulated as Markov ...

Robust stochastic optimisation methods seek decision rules that perform reliably under both inherent randomness and ambiguity in probability models. Combining classical stochastic programming—where ...

Professor Ruszczynski’s interests are in the theory, numerical methods and applications of stochastic optimization. He is author of "Nonlinear Optimization", "Lectures on Stochastic programming", and ...

Crane, D. B. "A Stochastic Programming Model for Commercial Bank Bond Portfolio Management." Journal of Financial and Quantitative Analysis 6, no. 3 (June 1971).

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 ...