Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
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Publication:2010903
DOI10.1016/j.insmatheco.2019.09.006zbMath1427.91242OpenAlexW2978836765WikidataQ127188933 ScholiaQ127188933MaRDI QIDQ2010903
Jingyun Sun, Zhilin Kang, Haixiang Yao
Publication date: 28 November 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.09.006
robust optimal controlutility losssuboptimal strategysquare-root factor processambiguity-averse insurermultiple dependent risks
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