Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion (Q2084302)
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scientific article; zbMATH DE number 7602979
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| English | Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion |
scientific article; zbMATH DE number 7602979 |
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Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion (English)
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18 October 2022
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ambiguity aversion
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optimal investment and reinsurance
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penalized probability of drawdown
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Hamilton-Jacobi-Bellman equation
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insurer and reinsurer
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robust optimization
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0.9192482233047484
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0.8619022965431213
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0.8433453440666199
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0.8326866626739502
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0.8314762711524963
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