Are quantile risk measures suitable for risk-transfer decisions?

DOI10.1016/j.insmatheco.2012.02.006zbMath1262.91093MaRDI QIDQ414617

M. L. Centeno, Manuel C. Guerra

Publication date: 11 May 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.02.006

zbMATH Keywords

coherent risk measures; optimal reinsurance; value at risk; quantile risk measures; conditional tail expectation; truncated stop loss

Mathematics Subject Classification ID

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

90C90: Applications of mathematical programming

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