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CDF formulation for solving an optimal reinsurance problem - MaRDI portal

CDF formulation for solving an optimal reinsurance problem (Q4575473)

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scientific article; zbMATH DE number 6903667
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English
CDF formulation for solving an optimal reinsurance problem
scientific article; zbMATH DE number 6903667

    Statements

    title
    CDF formulation for solving an optimal reinsurance problem (English)
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    author
    Chengguo Weng
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    Sheng Chao Zhuang
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    publication date
    13 July 2018
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    zbMATH Keywords
    CDF formulation
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    Lagrangian dual method
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    optimal reinsurance
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    survival probability maximization
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    background risk
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    generalized Wang's premium principle
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    cites work
    Q4836494
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    62P05
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    62E15
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    zbMATH DE Number
    6903667
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    OpenAlex ID
    W2333684438
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