Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
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 | Theorie | Theory | Rückversicherung | Reinsurance | Robustes Verfahren | Robust statistics | Versicherung | Insurance |
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