Optimal reinsurance with concave ceded loss functions under VaR and CTE risk measures (Q2252278)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal reinsurance with concave ceded loss functions under VaR and CTE risk measures |
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Optimal reinsurance with concave ceded loss functions under VaR and CTE risk measures (English)
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16 July 2014
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optimal reinsurance
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value-at-risk (VaR)
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conditional tail expectation (CTE)
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increasing concave function
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quota-share reinsurance
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full reinsurance
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expectation premium principle
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