Optimal reinsurance under the Haezendonck risk measure

DOI10.1016/J.SPL.2013.01.008MaRDI QIDQ1950759zbMATH OpenOpenAlexFDO

Authors Yunzhou Zhu, Yi Zhang, Lixin Zhang

Publication date 13 May 2013

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2013.01.008

zbMATH Keywords

budget constraintCVaRexpectation principleHaezendonck risk measureoptimal reinsurance

Mathematics Subject Classification ID

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Cites work

• A new premium calculation principle based on Orlicz norms
• An extension of Arrow's result on optimality of a stop loss contract
• Extensions of Ohlin's lemma with applications to optimal reinsurance structures
• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
• scientific article; zbMATH DE number 3198487 (Why is no real title available?)
• Mean-Variance Optimal Reinsurance Arrangements
• On convex principles of premium calculation
• Optimal reinsurance under convex principles of premium calculation
• Optimal reinsurance under mean-variance premium principles
• Optimal reinsurance under VaR and CTE risk measures
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures

Cited in

(14)

• Extensions of Ohlin's lemma with applications to optimal reinsurance structures
• Second-order asymptotics of the risk concentration of a portfolio with deflated risks
• A generalization of expected shortfall based capital allocation
• Stability properties of Haezendonck-Goovaerts premium principles
• Haezendonck-Goovaerts risk measure with a heavy tailed loss
• Optimal reinsurance with premium constraint under distortion risk measures
• Inference for intermediate Haezendonck-Goovaerts risk measure
• Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure
• Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
• Optimal portfolios with Haezendonck risk measures
• Stable solutions for optimal reinsurance problems involving risk measures
• An equilibrium model of reinsurance pricing
• The conditional Haezendonck-Goovaerts risk measure
• Empirical likelihood inference for Haezendonck-Goovaerts risk measure

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