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Worst-case-optimal dynamic reinsurance for large claims - MaRDI portal

Worst-case-optimal dynamic reinsurance for large claims (Q2391938)

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Worst-case-optimal dynamic reinsurance for large claims
scientific article

    Statements

    title
    Worst-case-optimal dynamic reinsurance for large claims (English)
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    author
    Ralf Korn
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    Olaf Menkens
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    Mogens Steffensen
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    publication date
    5 August 2013
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    zbMATH Keywords
    dynamic proportional reinsurance
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    reserve process
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    worst-case scenario approach
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    Cramér-Lundberg model
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    differential game
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    robust optimization
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    cites work
    Q5588331
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    Identifiers

    zbMATH DE Number
    6195112
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    OpenAlex ID
    W3122838776
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