Yuantao Xie

University of International Business and Economics (UIBE)

10, Huixin Dongjie

Changyang District

Beijing, Beijing 100029

China

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Optimal Robust Insurance with a Finite Uncertainty Set

Number of pages: 32 Posted: 29 Jan 2018 Last Revised: 31 Mar 2019
Alexandru Vali Asimit, Junlei Hu and Yuantao Xie
Cass Business School, City, University of London, University of Essex and University of International Business and Economics (UIBE)
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Abstract:

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Optimal reinsurance, Risk measure, Robust optimisation, Second order conic programming, Uncertainty modelling