Optimal reinsurance in the presence of counterparty default risk
From MaRDI portal
Publication:2015635
DOI10.1016/j.insmatheco.2013.09.012zbMath1290.91074OpenAlexW3122641509MaRDI QIDQ2015635
Alexandru V. Asimit, Ka Chun Cheung, Alexandru M. Badescu
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://openaccess.city.ac.uk/id/eprint/13124/1/Opt%20Reins%20CDR%20Asimit%20Badescu%20Cheung%202013%20IME%20final.pdf
value-at-riskoptimal reinsurancecounterparty default riskpremium principledistorted risk measureexpected policyholder deficit
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