Convex risk functionals: representation and applications
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Publication:2292181
DOI10.1016/j.insmatheco.2019.10.007zbMath1431.91340WikidataQ126853399 ScholiaQ126853399MaRDI QIDQ2292181
Christiane Lemieux, Ruodu Wang, Jun Cai, Fangda Liu
Publication date: 3 February 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.10.007
budget constraint; dual representation; optimal reinsurance design; law-invariant convex risk functional; robust evaluation
91G05: Actuarial mathematics
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