Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion
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 | Theorie | Theory | Rückversicherung | Reinsurance | Risikoaversion | Risk aversion | Versicherung | Insurance | Portfolio-Management | Portfolio selection | Entscheidung unter Unsicherheit | Decision under uncertainty | Wahrscheinlichkeitsrechnung | Probability theory |
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