Optimal reinsurance under distortion risk measures and expected value premium principle for reinsurer

DOI10.1007/s11424-014-2095-zzbMath1310.93088OpenAlexW1993956347MaRDI QIDQ2341611

Wei Cui, Jing-Ping Yang, YanTing Zheng

Publication date: 27 April 2015

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-014-2095-z

zbMATH Keywords

value-at-risk (VaR)distortion risk measuretail value-at-risk (TVaR)optimal reinsurance strategyexpected value premium principle

Mathematics Subject Classification ID

Related Items (9)

On Pareto-optimal reinsurance with constraints under distortion risk measures ⋮ VaR and CTE based optimal reinsurance from a reinsurer's perspective ⋮ A marginal indemnity function approach to optimal reinsurance under the Vajda condition ⋮ Characterizations of optimal reinsurance treaties: a cost-benefit approach ⋮ CDF formulation for solving an optimal reinsurance problem ⋮ Optimal reinsurance with default risk: a reinsurer's perspective ⋮ Optimal reinsurance with general premium principles based on RVaR and WVaR ⋮ Stochastic differential reinsurance and investment games with delay under VaR constraints⋆ ⋮ Multi-constrained optimal reinsurance model from the duality perspectives

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