Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
Danping Li, Virginia R. Young
| Year of publication: |
2019
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|---|---|
| Authors: | Li, Danping ; Young, Virginia R. |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 87.2019, p. 143-152
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| Subject: | Reinsurance | Ruin probability | Ambiguity | Mean-variance premium principle | Robust optimization | Diffusion approximation | Rückversicherung | Theorie | Theory | Risikomodell | Risk model | Risiko | Risk | Wahrscheinlichkeitsrechnung | Probability theory | Entscheidung unter Unsicherheit | Decision under uncertainty | Versicherungsmathematik | Actuarial mathematics | Portfolio-Management | Portfolio selection | Versicherungsökonomik | Economics of insurance | Robustes Verfahren | Robust statistics | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2019.04.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012058937