A quasi fractional order gradient descent method with adaptive stepsize and its application in system identification

作者：

Highlights：

• We analyze the optimal coverage levels for an insurance contract when the insurer is subject to default risk.

• Policyholders can make use of multiple risk-sharing instruments in order to diversify default risk.

• Policyholders’ preferences for more or less insurance coverage are mainly driven by their degree of prudence.

摘要

•We analyze the optimal coverage levels for an insurance contract when the insurer is subject to default risk.•Policyholders can make use of multiple risk-sharing instruments in order to diversify default risk.•Policyholders’ preferences for more or less insurance coverage are mainly driven by their degree of prudence.

论文关键词：QFOGDM,Hadamard product,Armijo criterion,Unconstrained optimization,System identification

论文评审过程：Received 1 April 2020, Revised 8 September 2020, Accepted 7 November 2020, Available online 21 November 2020, Version of Record 21 November 2020.

论文官网地址：https://doi.org/10.1016/j.amc.2020.125797