Optimal robust insurance with a finite uncertainty set
Alexandru V. Asimit, Junlei Hu, Yuantao Xie
| Year of publication: |
2019
|
|---|---|
| Authors: | Asimit, Alexandru V. ; Hu, Junlei ; Xie, Yuantao |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 87.2019, p. 67-81
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| Subject: | Optimal reinsurance | Risk measure | Robust optimisation | Second order conic programming | Uncertainty modelling | Theorie | Theory | Risiko | Risk | Mathematische Optimierung | Mathematical programming | Rückversicherung | Reinsurance | Robustes Verfahren | Robust statistics | Entscheidung unter Unsicherheit | Decision under uncertainty | Risikomaß |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2019.03.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012058915