Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps

DOI10.1080/03461238.2017.1309679zbMath1416.91203OpenAlexW2604888066MaRDI QIDQ4583607

Danping Li, Hailiang Yang, Yan Zeng

Publication date: 31 August 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2017.1309679

zbMATH Keywords

utility maximizationjump-diffusion modelrobust optimal controlambiguity-averse insurerexcess-of-loss reinsurance and investment

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39)

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