Robust optimal reinsurance in minimizing the penalized expected time to reach a goal
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Publication:2087514
DOI10.1016/j.cam.2022.114816zbMath1500.91117OpenAlexW4295736450MaRDI QIDQ2087514
Xia Han, Zhibin Liang, Y. Yuan
Publication date: 21 October 2022
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2022.114816
Hamilton-Jacobi-Bellman equationstochastic optimal controlambiguity aversionexpected timereaching a goalrobust optimal reinsurance
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