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Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk

  • Published:2021-10-07 Issue: Volume: Page:1-32
  • ISSN:1092-0277
  • Container-title:North American Actuarial Journal
  • language:en
  • Short-container-title:North American Actuarial Journal

Author:

Chi Yichun1ORCID,Xu Zuo Quan2ORCID,Zhuang Sheng Chao3ORCID

Affiliation:

1. China Institute for Actuarial Science, Central University of Finance and Economics, Beijing, China

2. Department of Applied Mathematics, The Hong Kong Polytechnic University, Kowloon, Hong Kong, China

3. Department of Finance, University of Nebraska–Lincoln, Lincoln, Nebraska

Funder

National Natural Science Foundation of China

111 Project of China

NSFC

Hong Kong GRF

PolyU-SDU Joint Research Center on Financial Mathematics

CAS AMSS-POLYU Joint Laboratory of Applied Mathematics

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Cited by 3 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Robust Risk Control with Reinsurance and CAT Bonds;North American Actuarial Journal;2024-09-03

2. Robust Risk Control With Reinsurance and CAT Bonds;SSRN Electronic Journal;2023

3. Optimal allocation of policy limits in layer reinsurance treaties;Probability in the Engineering and Informational Sciences;2022-11-24
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