Pareto-optimal reinsurance arrangements under general model settings

DOI10.1016/j.insmatheco.2017.08.004zbMath1422.91329OpenAlexW2586328217MaRDI QIDQ1681082

Jun Cai, Haiyan Liu, Ruodu Wang

Publication date: 23 November 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.08.004

zbMATH Keywords

Pareto optimalityoptimal reinsurancetail-value-at-riskcomonotonic-convexitycomonotonic-semilinearity

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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