Short communication: optimal insurance to maximize exponential utility when premium is computed by a convex functional

DOI10.1137/23M1601237MaRDI QIDQ6496945

Virginia R. Young, Bin Zou, Jingyi Cao, Dongchen Li

Publication date: 6 May 2024

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

zbMATH Keywords

numerical algorithmoptimal insuranceconvex premium functional

Mathematics Subject Classification ID

Numerical methods based on necessary conditions (49M05) Optimal stochastic control (93E20) Actuarial mathematics (91G05)

Cites Work

• Optimal reinsurance under convex principles of premium calculation
• On convex principles of premium calculation
• Optimal insurance to maximize RDEU under a distortion-deviation premium principle
• Mathematical Risk Analysis
• Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility

This page was built for publication: Short communication: optimal insurance to maximize exponential utility when premium is computed by a convex functional