Optimal reinsurance under dynamic VaR constraint (Q2374115)
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scientific article; zbMATH DE number 6663359
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|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal reinsurance under dynamic VaR constraint |
scientific article; zbMATH DE number 6663359 |
Statements
Optimal reinsurance under dynamic VaR constraint (English)
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14 December 2016
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HJB equation
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dynamic value-at-risk (VaR)
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conditional value-at-risk (CVaR)
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worst-case CVaR (wcCVaR)
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survival probability
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0.8912646770477295
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0.8748366236686707
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0.8660872578620911
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0.8565031886100769
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0.8538314700126648
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