Robust optimal reinsurance in minimizing the penalized expected time to reach a goal
type: Item
instance of: scholarly article
title: Robust optimal reinsurance in minimizing the penalized expected time to reach a goal
zbMATH Open document ID: 1500.91117
author: Zhibin Liang
author: Xia Han
author: Y. Yuan
published in: Journal of Computational and Applied Mathematics
publication date: 2022-10-21T00:00:00Z
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7604639
zbMATH Keywords: ambiguity aversion
zbMATH Keywords: expected time
zbMATH Keywords: reaching a goal
zbMATH Keywords: stochastic optimal control
zbMATH Keywords: Hamilton-Jacobi-Bellman equation
zbMATH Keywords: robust optimal reinsurance
MaRDI profile type: Publication
full work available at URL: j.cam.2022.114816
OpenAlex ID: W4295736450
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DOI: 10.1016/J.CAM.2022.114816
description: scientific article; zbMATH DE number 7604639