Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion

Yu Yuan, Zhibin Liang, Xia Han

Year of publication:	2022
Authors:	Yuan, Yu ; Liang, Zhibin ; Han, Xia
Subject:	Ambiguity aversion \| Hamilton-Jacobi-Bellman equation \| Insurer and reinsurer \| Optimal investment and reinsurance \| Penalized probability of drawdown \| Robust optimization \| Rückversicherung \| Reinsurance \| Theorie \| Theory \| Risikoaversion \| Risk aversion \| Versicherung \| Insurance \| Versicherungsökonomik \| Economics of insurance \| Entscheidung unter Unsicherheit \| Decision under uncertainty \| Portfolio-Management \| Portfolio selection \| Wahrscheinlichkeitsrechnung \| Probability theory \| Robustes Verfahren \| Robust statistics \| Risikomodell \| Risk model

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1007/s00186-022-00794-w [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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