Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit (Q320272): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91B30 / rank | |||
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G70 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6633919 / rank | |||
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| Property / zbMATH Keywords | |||
optimal reinsurance | |||
| Property / zbMATH Keywords: optimal reinsurance / rank | |||
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value-at-risk (VaR) | |||
| Property / zbMATH Keywords: value-at-risk (VaR) / rank | |||
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tail value-at-risk (TVaR) | |||
| Property / zbMATH Keywords: tail value-at-risk (TVaR) / rank | |||
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risk limit | |||
| Property / zbMATH Keywords: risk limit / rank | |||
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two-layer reinsurance | |||
| Property / zbMATH Keywords: two-layer reinsurance / rank | |||
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expectation premium principle | |||
| Property / zbMATH Keywords: expectation premium principle / rank | |||
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Revision as of 01:49, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit |
scientific article |
Statements
Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit (English)
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6 October 2016
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optimal reinsurance
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value-at-risk (VaR)
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tail value-at-risk (TVaR)
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risk limit
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two-layer reinsurance
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expectation premium principle
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