Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion (Q2084302)
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scientific article; zbMATH DE number 7602979
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion |
scientific article; zbMATH DE number 7602979 |
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Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion (English)
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18 October 2022
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ambiguity aversion
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optimal investment and reinsurance
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penalized probability of drawdown
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Hamilton-Jacobi-Bellman equation
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insurer and reinsurer
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robust optimization
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