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Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer.

Junna BiQingbin MengYongji Zhang
Published in: Ann. Oper. Res. (2014)
Keyphrases
  • optimal solution
  • benchmark problems
  • dynamic programming
  • data sets
  • optimization problems
  • np complete
  • dynamic environments
  • utility function
  • decision problems
  • semi infinite programming