Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit
DOI10.1016/J.INSMATHECO.2016.03.001zbMATH Open1369.91091OpenAlexW2299833805MaRDI QIDQ320272FDOQ320272
Authors: ZhiYi Lu, LiLi Meng, Yujin Wang, Qingjie Shen 
Publication date: 6 October 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.03.001
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value-at-risk (VaR)optimal reinsuranceexpectation premium principlerisk limittail value-at-risk (TVaR)two-layer reinsurance
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
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- Optimal reinsurance for variance related premium calculation principles
- Optimal Reinsurance Revisited – A Geometric Approach
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Optimal reinsurance under general law-invariant risk measures
- Optimal reinsurance under mean-variance premium principles
- Optimality of general reinsurance contracts under CTE risk measure
- Optimal insurance in the presence of insurer's loss limit
- Optimal reinsurance under general risk measures
- Optimal reinsurance under convex principles of premium calculation
- Optimal reinsurance under VaR and CTE risk measures
- Risk Measures and Comonotonicity: A Review
- On convex principles of premium calculation
- Insurer's optimal reinsurance strategies
- Some Results on Optimal Reinsurance in Terms of the Adjustment Coefficient
- OPTIMAL REINSURANCE WITH LIMITED CEDED RISK: A STOCHASTIC DOMINANCE APPROACH
- Unifying framework for optimal insurance
- Optimal insurance under the insurer's risk constraint
- Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
Cited In (7)
- Multi-constrained optimal reinsurance model from the duality perspectives
- VaR and CTE based optimal reinsurance from a reinsurer's perspective
- Optimal reinsurance with default risk: a reinsurer's perspective
- A NEYMAN-PEARSON PERSPECTIVE ON OPTIMAL REINSURANCE WITH CONSTRAINTS
- Optimal reinsurance under VaR and CVaR risk measures a simplified approach
- A two-layer stochastic game approach to reinsurance contracting and competition
- Optimal reinsurance policy under a new distortion risk measure
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