VaR and CTE based optimal reinsurance from a reinsurer's perspective (Q2151981)
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scientific article; zbMATH DE number 7553674
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| English | VaR and CTE based optimal reinsurance from a reinsurer's perspective |
scientific article; zbMATH DE number 7553674 |
Statements
VaR and CTE based optimal reinsurance from a reinsurer's perspective (English)
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5 July 2022
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optimal reinsurance
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value at risk
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conditional tail expectation
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distortion premium principle
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expectation premium principle
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0.8868294358253479
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0.8845359683036804
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0.8799312710762024
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0.8751320838928223
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0.8743242621421814
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