Robust portfolio selection problem for an insurer with exponential utility preference
In this paper, we consider the robust portfolio selection problem for an insurer in the sense of maximizing the exponential utility of his wealth. This special robust investment problem, where underwriting results and a risk-free asset are considered, differs from ordinary robust portfolio selection...
| Main Authors: | , , |
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| Format: | Others |
| Published: |
World Scientific and Engineering Academy and Society,
2011-11-11T00:46:36Z.
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| Subjects: | |
| Online Access: | Get fulltext |