Risk-adjusted bowley reinsurance under distorted probabilities
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Publication:2415964
DOI10.1016/j.insmatheco.2019.02.006zbMath1411.91272OpenAlexW2916014529WikidataQ128342018 ScholiaQ128342018MaRDI QIDQ2415964
Ka Chun Cheung, Yiying Zhang, Sheung Chi Phillip Yam
Publication date: 23 May 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.02.006
value-at-riskdistortion risk measureStackelberg equilibriatail value-at-riskgeneral premium principleBowley solutionequilibrium reinsurance strategypricing density
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