Restricted optimal retention in stop-loss reinsurance under VaR and CTE risk measures (Q5263014)
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scientific article; zbMATH DE number 6457785
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| English | Restricted optimal retention in stop-loss reinsurance under VaR and CTE risk measures |
scientific article; zbMATH DE number 6457785 |
Statements
10 July 2015
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risk measure
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reinsurance
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optimization
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retention
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value-at-risk
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0.9658725261688232
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0.9373294711112976
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0.8761817216873169
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0.8717317581176758
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