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Reinsurer's optimal reinsurance strategy with upper and lower premium constraints under distortion risk measures.
Wenyuan Wang
Xingchun Peng
Published in:
J. Comput. Appl. Math. (2017)
Keyphrases
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risk measures
optimal strategy
dynamic programming
optimal solution
optimal control
genetic algorithm
reinforcement learning
simulated annealing
portfolio optimization
risk averse