Optimal reinsurance under general law-invariant risk measures

DOI10.1080/03461238.2011.636880zbMath1401.91110MaRDI QIDQ4576840

Ka Chun Cheung, K. C. J. Sung, Sheung Chi Phillip Yam, Siu Pang Yung

Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2011.636880

zbMATH Keywords

geometric approach; optimal reinsurance; convex risk measures; stop-loss insurance; insurance layer

Mathematics Subject Classification ID

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

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Cites Work