On VEPSO and VEDE for solving a treaty optimization problem

Author

Carmona Cortes, Omar Andres ; Rau-Chaplin, Andrew ; do Prado, Pedro Felipe

Author_Institution

Inf. Acad. Dept., Fed. Inst. of Sci., Educ. & Technol. of Maranhao, Sao Luis, Brazil

fYear

2014

fDate

5-8 Oct. 2014

Firstpage

2427

Lastpage

2432

Abstract

The purpose of this paper is to evaluate the performance of Vector Evaluated Differential Evolution (VEDE) and Vector Evaluated Particle Swarm Optimization (VEPSO) in solving a real world financial optimization problem. The algorithms have been applied to the Reinsurance Contract Problem, which is a challenging problem in computational finance, and their performance has been evaluated in terms of metrics including the average number of solutions, the average hypervolume and the coverage. Results have shown that both algorithms can reach good solutions, however VEPSO tends to perform better.

Keywords

evolutionary computation; finance; particle swarm optimisation; vectors; VEDE; VEPSO; average hypervolume; computational finance; real world financial optimization problem; reinsurance contract problem; treaty optimization problem; vector evaluated differential evolution; vector evaluated particle swarm optimization; Analysis of variance; Companies; Equations; Optimization; Sociology; Vectors;

fLanguage

English

Publisher

ieee

Conference_Titel

Systems, Man and Cybernetics (SMC), 2014 IEEE International Conference on

Conference_Location

San Diego, CA

Type

conf

DOI

10.1109/SMC.2014.6974290

Filename

6974290