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

DOI10.1137/23M1601237MaRDI QIDQ6496945FDOQ6496945

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)

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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)

Cites Work

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

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