Optimal insurance design with lambda-value-at-risk
From MaRDI portal
Cites work
- An examination of the role of price insurance products in stimulating investment in agriculture supply chains for sustained productivity
- Cash subadditive risk measures and interest rate ambiguity
- Distortion risk measure under parametric ambiguity
- Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
- scientific article; zbMATH DE number 5321684 (Why is no real title available?)
- Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
- Insurance with multiple insurers: a game-theoretic approach
- Marginal indemnification function formulation for optimal reinsurance
- On optimal reinsurance policy with distortion risk measures and premiums
- On the properties of the lambda value at risk: robustness, elicitability and consistency
- Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
- Optimal insurance under maxmin expected utility
- Optimal reinsurance designs based on risk measures: a review
- Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
- Optimal reinsurance under general law-invariant risk measures
- Optimal reinsurance under VaR and CTE risk measures
- Optimal reinsurance under VaR and CVaR risk measures a simplified approach
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Pareto efficient insurance contracts when the insurer's cost function is discontinuous
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Quantile-based risk sharing
- Risk contributions of lambda quantiles
- Risk measures on \(\mathcal{P}(\mathbb R)\) and value at risk with probability/loss function
- Robust and Pareto optimality of insurance contracts
- Robust insurance design with distortion risk measures
- Robust portfolio control with stochastic factor dynamics
- Short communication: An axiomatization of \(\Lambda\)-quantiles
- Stochastic finance. An introduction in discrete time.
- Tractable robust expected utility and risk models for portfolio optimization
- Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance
Cited in
(2)
This page was built for publication: Optimal insurance design with lambda-value-at-risk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6891796)