Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion
Yu Yuan, Zhibin Liang, Xia Han
| Year of publication: |
2022
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|---|---|
| Authors: | Yuan, Yu ; Liang, Zhibin ; Han, Xia |
| Published in: |
Mathematical methods of operations research : ZOR. - Berlin : Springer, ISSN 1432-5217, ZDB-ID 1459420-1. - Vol. 96.2022, 2, p. 259-290
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| 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 |
| 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 |
Persistent link: https://www.econbiz.de/10013455032