Optimal reinsurance under VaR and CTE risk measures (Q938052)
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scientific article; zbMATH DE number 5312910
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| English | Optimal reinsurance under VaR and CTE risk measures |
scientific article; zbMATH DE number 5312910 |
Statements
Optimal reinsurance under VaR and CTE risk measures (English)
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18 August 2008
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value-at-risk (VaR)
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conditional tail expectation (CTE)
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ceded loss
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retained loss
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increasing convex function
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expectation premium principle
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stop-loss reinsurance
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quota-share reinsurance
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change-loss reinsurance
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0.9273672699928284
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0.8989123106002808
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0.8933835625648499
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0.8841816782951355
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0.8810859322547913
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