Convex risk functionals: representation and applications

DOI10.1016/j.insmatheco.2019.10.007zbMath1431.91340WikidataQ126853399 ScholiaQ126853399MaRDI QIDQ2292181

Fangda Liu, Jun Cai, Ruodu Wang, Christiane Lemieux

Publication date: 3 February 2020

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.10.007

zbMATH Keywords

budget constraint; dual representation; optimal reinsurance design; law-invariant convex risk functional; robust evaluation

Mathematics Subject Classification ID

91G05: Actuarial mathematics

Related Items

OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION, DISTORTION RISKMETRICS ON GENERAL SPACES, Choquet Regularization for Continuous-Time Reinforcement Learning, Law-invariant functionals that collapse to the mean: beyond convexity, Automatic Fatou property of law-invariant risk measures, Parametric measures of variability induced by risk measures, A decomposition of general premium principles into risk and deviation, Concave/convex weighting and utility functions for risk: a new light on classical theorems, Enhancing an insurer's expected value by reinsurance and external financing

Uses Software

• QRM

Cites Work

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