scientific article; zbMATH DE number 6830767

DOI10.3969/J.ISSN.1001-4268.2017.03.005MaRDI QIDQ3131138zbMATH OpenFDO

Authors Wenyuan Wang, Liqun Xiao

Publication date 29 January 2018

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-4268.2017.03.005

zbMATH Keywords

ceded loss functiondistortion risk measureGlueVaRoptimal reinsurance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Recommendations

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Cited in

(1)

• VaR and CTE based optimal reinsurance from a reinsurer's perspective

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