Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion

Yu Yuan, Zhibin Liang, Xia Han. Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion. Math. Meth. of OR, 96(2):259-290, 2022. [doi]

Authors

Yu Yuan

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Zhibin Liang

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Xia Han

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