Optimal risk transfer under quantile-based risk measurers

DOI10.1016/j.insmatheco.2013.05.005zbMath1284.91199MaRDI QIDQ2446006

Alexandru V. Asimit, Tim Verdonck, Alexandru M. Badescu

Publication date: 15 April 2014

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

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/12172/1/Asimit_Badescu_Verdonck_2013_SSRN_final.pdf

zbMATH Keywords

value-at-risk; optimal reinsurance; expected shortfall; premium principle; distorted risk measure; truncated tail value-at-risk

Mathematics Subject Classification ID

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Uses Software

• robustbase

Cites Work

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