Optimal Reinsurance Under VaR and CTE Risk Measures When Ceded Loss Function is Concave
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Publication:2921869
DOI10.1080/03610926.2012.716136zbMath1297.91091MaRDI QIDQ2921869
LiLi Meng, ZhiYi Lu, Leping Liu, Qingjie Shen
Publication date: 14 October 2014
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2012.716136
value-at-riskoptimal reinsuranceconditional tail expectationquota-share reinsuranceincreasing concave functionfull reinsurance
60E15: Inequalities; stochastic orderings
62P05: Applications of statistics to actuarial sciences and financial mathematics
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