Optimal reinsurance under the standard deviation principle

DOI10.1360/012010-422zbMATH Open1488.91099OpenAlexW2318553704MaRDI QIDQ5017669FDOQ5017669

Authors: Lixin Song, Yujie Huang, Juan Zhou 

Publication date: 17 December 2021

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1360/012010-422

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zbMATH Keywords

upper boundreinsuranceLagrangian functiontotal riskstandard deviation principle

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

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