Restricted coherent risk measures and actuarial solvency (Q1929899)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Restricted coherent risk measures and actuarial solvency |
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Restricted coherent risk measures and actuarial solvency (English)
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10 January 2013
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Summary: We prove a general dual representation form for restricted coherent risk measures, and we apply it to a minimization problem of the required solvency capital for an insurance company.
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restricted coherent risk measures
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minimization problem
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required solvency capital
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insurance
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