Optimal reinsurance under VaR and CTE risk measures (Q938052): Difference between revisions
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Revision as of 01:41, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal reinsurance under VaR and CTE risk measures |
scientific article |
Statements
Optimal reinsurance under VaR and CTE risk measures (English)
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18 August 2008
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value-at-risk (VaR)
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conditional tail expectation (CTE)
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ceded loss
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retained loss
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increasing convex function
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expectation premium principle
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stop-loss reinsurance
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quota-share reinsurance
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change-loss reinsurance
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