Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion

DOI10.1007/s00186-022-00794-wzbMath1503.91094OpenAlexW4289780624MaRDI QIDQ2084302

Zhibin Liang, Xia Han, Y. Yuan

Publication date: 18 October 2022

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-022-00794-w

zbMATH Keywords

Hamilton-Jacobi-Bellman equationrobust optimizationambiguity aversioninsurer and reinsureroptimal investment and reinsurancepenalized probability of drawdown

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Actuarial mathematics (91G05)

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