Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
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Publication:2445992
distortion risk measureoptimal reinsuranceTVaRVaRreinsurance premium principleWang's premium principle
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Cited in
(80)- The role of a representative reinsurer in optimal reinsurance
- Optimal reinsurance with model uncertainty and Stackelberg game
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- Lower and upper bounds for survival functions of the smallest and largest claim amounts in layer coverages
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- The optimal retrospective reinsurance with the minimum risk-adjusted value
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