Optimal risk allocation in reinsurance networks

DOI10.1016/j.insmatheco.2018.06.009zbMath1416.91155arXiv1711.10210OpenAlexW2769875979MaRDI QIDQ1799630

Nicole Bäuerle, Alexander Glauner

Publication date: 19 October 2018

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

Full work available at URL: https://arxiv.org/abs/1711.10210

zbMATH Keywords

stochastic orderingoptimal reinsurancemacroeconomic optimizationpositively dependent through stochastic orderingrange-value-at-risk

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

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