Marginal indemnification function formulation for optimal reinsurance

DOI10.1016/j.insmatheco.2015.12.003zbMath1348.91196OpenAlexW3122409549MaRDI QIDQ282271

Chengguo Weng, Ken Seng Tan, Sheng Chao Zhuang, Hirbod Assa

Publication date: 12 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.12.003

zbMATH Keywords

optimal reinsurancedistortion risk measureinverse-S shaped distortion premium principleLagrangian dual methodmarginal indemnification function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Utility theory (91B16)

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