Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
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Publication:2421407
DOI10.1016/j.insmatheco.2019.04.009zbMath1410.91274OpenAlexW2945229948WikidataQ127861776 ScholiaQ127861776MaRDI QIDQ2421407
Publication date: 17 June 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.04.009
diffusion approximationruin probabilityambiguityrobust optimizationreinsurancemean-variance premium principle
Stochastic programming (90C15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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