Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit (Q320272)
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scientific article; zbMATH DE number 6633919
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| English | Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit |
scientific article; zbMATH DE number 6633919 |
Statements
Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit (English)
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6 October 2016
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optimal reinsurance
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value-at-risk (VaR)
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tail value-at-risk (TVaR)
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risk limit
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two-layer reinsurance
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expectation premium principle
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0.8695355653762817
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0.8643836975097656
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0.8572770953178406
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0.8550049662590027
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0.845547616481781
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