Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk

DOI10.1080/10920277.2021.1966805zbMath1500.91113arXiv2108.04464OpenAlexW3199050822MaRDI QIDQ5043475

Yichun Chi, Zuo Quan Xu, Sheng Chao Zhuang

Publication date: 6 October 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.04464

Mathematics Subject Classification ID

Portfolio theory (91G10) Actuarial mathematics (91G05)

Related Items (1)

Optimal allocation of policy limits in layer reinsurance treaties

Uses Software

• QRM

Cites Work

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