Acta mathematica scientia,Series A ›› 2021, Vol. 41 ›› Issue (4): 1147-1165.
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Optimal Investment and Proportional Reinsurance Strategies to Minimize the Probability of Drawdown Under Ambiguity Aversion
Yuying Zhao(
),Yuzhen Wen*()
- School of Statistics, Qufu Normal University, Shandong Qufu 273165
-
Received:2020-10-22Online:2021-08-26Published:2021-08-09 -
Contact:Yuzhen Wen E-mail:zhaoyuying95@163.com;wenyzhen@163.com -
Supported by:the NSFC(11501319);the China Postdoctoral Science Foundation(2015M582064);the NSF of Shandong Province(ZR-2020MA035);the NSF of Shandong Province(ZR2015AL013)
CLC Number:
- O224
Cite this article
Yuying Zhao,Yuzhen Wen. Optimal Investment and Proportional Reinsurance Strategies to Minimize the Probability of Drawdown Under Ambiguity Aversion[J].Acta mathematica scientia,Series A, 2021, 41(4): 1147-1165.
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