Worst-case-optimal dynamic reinsurance for large claims
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Publication:2391938
DOI10.1007/s13385-012-0050-8zbMath1269.91044OpenAlexW3122838776MaRDI QIDQ2391938
Olaf Menkens, Mogens Steffensen, Ralf Korn
Publication date: 5 August 2013
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: http://doras.dcu.ie/17168/1/Worst_Case_Optimal_Reinsurance_WP_26_06_2012.pdf
differential gamerobust optimizationCramér-Lundberg modelreserve processdynamic proportional reinsuranceworst-case scenario approach
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