Optimal Reinsurance Under VaR and CTE Risk Measures When Ceded Loss Function is Concave

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

zbMATH Keywords

value-at-riskoptimal reinsuranceconditional tail expectationquota-share reinsuranceincreasing concave functionfull reinsurance

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

Optimal non-life reinsurance under Solvency II regime, VaR and CTE based optimal reinsurance from a reinsurer's perspective, Optimal robust insurance with a finite uncertainty set, Optimal reinsurance with default risk: a reinsurer's perspective

Cites Work

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• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Optimal reinsurance under mean-variance premium principles