Optimal reinsurance under risk and uncertainty on Orlicz hearts

DOI10.1016/j.insmatheco.2017.10.006zbMath1416.91196OpenAlexW2765459804MaRDI QIDQ1667416

Dezhou Kong, Yong-Hong Wu, Li Shan Liu

Publication date: 28 August 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.10.006

zbMATH Keywords

risk and uncertaintydual approachrobust representationoptimal reinsurance problemOrlicz heart

Mathematics Subject Classification ID

Related Items (1)

Optimal initial capital induced by the optimized certainty equivalent

Cites Work

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