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Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional.
Jingyi Cao
Dongchen Li
Virginia R. Young
Bin Zou
Published in:
SIAM J. Financial Math. (2024)
Keyphrases
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optimal control
communication systems
semi infinite programming
optimal solution
globally optimal
utility function
information exchange
piecewise linear
communication channels
dynamic programming
probability distribution
convex optimization
communication cost
online auctions
convex sets