Optimal robust insurance with a finite uncertainty set
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Publication:2421397
DOI10.1016/j.insmatheco.2019.03.009zbMath1410.91254OpenAlexW2786661519WikidataQ128037639 ScholiaQ128037639MaRDI QIDQ2421397
Junlei Hu, Alexandru V. Asimit, Yuan-tao Xie
Publication date: 17 June 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/22001/1/Junlei_Yuantao_Vali_Robust_opt_Mar2019_SSRN_version.pdf
uncertainty modellingoptimal reinsurancerisk measurerobust optimisationsecond order conic programming
Numerical methods (including Monte Carlo methods) (91G60) Applications of mathematical programming (90C90) Applications of optimal control and differential games (49N90)
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