Optimal reinsurance with regulatory initial capital and default risk

DOI10.1016/j.insmatheco.2014.04.006zbMath1304.91094OpenAlexW2062901128MaRDI QIDQ2513436

Christiane Lemieux, Jun Cai, Fangda Liu

Publication date: 28 January 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.04.006

zbMATH Keywords

utility functionvalue-at-riskoptimal reinsuranceconvex ordercounterparty default riskreinsurance premium

Mathematics Subject Classification ID

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