Robust optimal per-loss reinsurance strategy for an ambiguity-averse insurer (Q6559910)
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scientific article; zbMATH DE number 7869311
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| English | Robust optimal per-loss reinsurance strategy for an ambiguity-averse insurer |
scientific article; zbMATH DE number 7869311 |
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Robust optimal per-loss reinsurance strategy for an ambiguity-averse insurer (English)
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21 June 2024
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ambiguity-averse
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reinsurance
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mean-variance reward function
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extended Hamilton-Jacobi-Bellman system equations
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0.8529987931251526
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0.8494958877563477
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0.8473514318466187
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