Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles (Q2445992)
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scientific article; zbMATH DE number 6285068
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| English | Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles |
scientific article; zbMATH DE number 6285068 |
Statements
Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles (English)
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15 April 2014
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optimal reinsurance
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distortion risk measure
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reinsurance premium principle
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Wang's premium principle
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VaR
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TVaR
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0.9265953302383424
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0.9038274884223938
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0.8944907784461975
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0.8882520198822021
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0.8575652241706848
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