Optimal reinsurance under the α-maxmin mean-variance criterion
Sign Up to like & getrecommendations! Published in 2021 at "Insurance: Mathematics and Economics"
DOI: 10.1016/j.insmatheco.2021.08.004
Abstract: Abstract This paper studies an optimal reinsurance problem under the α-maximin mean-variance criterion proposed in Li et al. (2016) . We generalize ( Li et al., 2016 ) by considering a full range of ambiguity… read more here.
Keywords: ambiguity loving; mean variance; variance criterion; ambiguity ... See more keywords