VaR criteria for optimal limited change-loss and truncated change-loss reinsurance

DOI10.1007/S11464-013-0278-XzbMATH Open1273.62250OpenAlexW1830028070MaRDI QIDQ372232FDOQ372232

Authors: Xiao-Jing Ma, Lan Wu 

Publication date: 14 October 2013

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-013-0278-x

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zbMATH Keywords

value-at-riskoptimal reinsurance

Mathematics Subject Classification ID

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

Cites Work

• Coherent measures of risk
• Title not available (Why is that?)
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Optimal insurance in the presence of insurer's loss limit
• Optimal reinsurance under general risk measures
• Optimal reinsurance under VaR and CTE risk measures
• Optimal insurance under the insurer's risk constraint
• A synthesis of risk measures for capital adequacy

Cited In (1)

• VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance

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