A marginal indemnity function approach to optimal reinsurance under the Vajda condition
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Publication:2158053
DOI10.1016/j.ejor.2022.03.020WikidataQ113875415 ScholiaQ113875415MaRDI QIDQ2158053
Publication date: 22 July 2022
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2022.03.020
optimal reinsurance; risk management; distortion risk measure; backward-forward optimization; Vajda condition
90Bxx: Operations research and management science
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