Optimal reinsurance in the presence of counterparty default risk (Q2015635)
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scientific article; zbMATH DE number 6306913
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal reinsurance in the presence of counterparty default risk |
scientific article; zbMATH DE number 6306913 |
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Optimal reinsurance in the presence of counterparty default risk (English)
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23 June 2014
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counterparty default risk
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distorted risk measure
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expected policyholder deficit
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premium principle
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optimal reinsurance
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value-at-risk
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0.8590037822723389
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0.854761004447937
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0.8494354486465454
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0.8356096148490906
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