Robust optimal investment and proportional reinsurance toward joint interests of the insurer and the reinsurer

DOI10.1080/03610926.2016.1242734zbMath1386.91082OpenAlexW2535100518MaRDI QIDQ4595864

Ya Huang, Jie-Ming Zhou, Xiang-Qun Yang

Publication date: 6 December 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2016.1242734

zbMATH Keywords

robust controlexpected utilityproportional reinsuranceambiguity-averse

Mathematics Subject Classification ID

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