VaR criteria for optimal limited change-loss and truncated change-loss reinsurance
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Publication:372232
DOI10.1007/s11464-013-0278-xzbMath1273.62250OpenAlexW1830028070MaRDI QIDQ372232
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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Cites Work
- Optimal insurance in the presence of insurer's loss limit
- Optimal reinsurance under general risk measures
- Optimal insurance under the insurer's risk constraint
- Optimal reinsurance under VaR and CTE risk measures
- A synthesis of risk measures for capital adequacy
- Coherent Measures of Risk
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Unnamed Item
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