Short communication: optimal insurance to maximize exponential utility when premium is computed by a convex functional

DOI10.1137/23M1601237MaRDI QIDQ6496945zbMATH OpenFDO

Authors Jingyi Cao, Dongchen Li, Virginia R. Young, Bin Zou

Publication date 6 May 2024

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

zbMATH Keywords

numerical algorithmoptimal insuranceconvex premium functional

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Optimal stochastic control (93E20) Numerical methods based on necessary conditions (49M05)

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Cites work

• Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
• On convex principles of premium calculation
• Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility
• Optimal insurance to maximize RDEU under a distortion-deviation premium principle
• Optimal reinsurance under convex principles of premium calculation

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