Optimal reinsurance under VaR and CTE risk measures when ceded loss function is concave (Q2921869)
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scientific article; zbMATH DE number 6355091
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| English | Optimal reinsurance under VaR and CTE risk measures when ceded loss function is concave |
scientific article; zbMATH DE number 6355091 |
Statements
Optimal Reinsurance Under VaR and CTE Risk Measures When Ceded Loss Function is Concave (English)
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14 October 2014
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optimal reinsurance
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value-at-risk
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conditional tail expectation
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increasing concave function
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quota-share reinsurance
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full reinsurance
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0.9535364508628844
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0.9273672699928284
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0.8867774605751038
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0.8845359683036804
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0.8820226192474365
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