Marginal indemnification function formulation for optimal reinsurance
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Publication:282271
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
optimal reinsurancedistortion risk measureinverse-S shaped distortion premium principleLagrangian dual methodmarginal indemnification function
Applications of statistics to actuarial sciences and financial mathematics (62P05) Utility theory (91B16)
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