Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles

DOI10.1016/j.insmatheco.2013.03.007zbMath1284.91222OpenAlexW2040729577MaRDI QIDQ2445992

Lan Wu, Wei Cui, Jing-Ping Yang

Publication date: 15 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.03.007

zbMATH Keywords

optimal reinsurancedistortion risk measureTVaRVaRreinsurance premium principleWang's premium principle

Mathematics Subject Classification ID

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