Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
Danping Li, Yan Zeng and Hailiang Yang
| Year of publication: |
February-June 2018
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| Authors: | Li, Danping ; Zeng, Yan ; Yang, Hailiang |
| Published in: |
Scandinavian actuarial journal. - Basingstoke : Taylor & Francis, ISSN 0346-1238, ZDB-ID 186753-2. - 2018, 2, p. 145-171
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| Subject: | Robust optimal control | excess-of-loss reinsurance and investment | jump-diffunsion model | utility maximization | ambiguity-averse insurer | Rückversicherung | Reinsurance | Theorie | Theory | Versicherung | Insurance | Portfolio-Management | Portfolio selection | Versicherungsökonomik | Economics of insurance | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2017.1309679 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011881073