Robust optimal reinsurance strategy with correlated claims and competition
Robust optimal reinsurance strategy with correlated claims and competition
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Publisher
AIMS Press
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Language
English
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AIMS Press
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This paper investigates the robust optimal reinsurance strategy, which simultaneously takes into account the ambiguity aversion, the correlated claims and the joint interests of an insurer and a reinsurer. The correlated claims mean that future claims are correlated with historical claims, which are measured by an extrapolative bias. The joint inte...
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Full title
Robust optimal reinsurance strategy with correlated claims and competition
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TN_cdi_doaj_primary_oai_doaj_org_article_50afd3ba926040bd82195b076a929fc1
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_doaj_primary_oai_doaj_org_article_50afd3ba926040bd82195b076a929fc1
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ISSN
2473-6988
E-ISSN
2473-6988
DOI
10.3934/math.2023801
