A unifying approach to constrained and unconstrained optimal reinsurance
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Publication:2315813
DOI10.1016/j.cam.2019.03.046zbMath1422.91356arXiv1807.06892OpenAlexW2884718329WikidataQ128118015 ScholiaQ128118015MaRDI QIDQ2315813
Publication date: 26 July 2019
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1807.06892
geometric approachconstrained optimization problemdistortion risk measureLagrangian dual methodunconstrained optimization problemdistortion premium principle
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