Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework

DOI10.1016/J.INSMATHECO.2016.11.006zbMATH Open1394.91232OpenAlexW2558010647MaRDI QIDQ506091FDOQ506091

Authors: Haoze Sun, Chengguo Weng, Yi Zhang 

Publication date: 31 January 2017

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.11.006

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zbMATH Keywords

bootstrapkernel estimationnonparametric model\(\alpha\)-mixing processmean-CVaRmultiple optimal reinsurance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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Cited In (5)

• Euler allocations in the presence of nonlinear reinsurance: comment on Major (2018)
• Optimal insurance contract specification in the upstream sector of the oil and gas industry
• Discussion on the paper ‘Optimal reinsurance design based on risk measures: a review’ by Yichun Chi and Jun Cai
• Reinsurance of multiple risks with generic dependence structures
• Empirical tail risk management with model-based annealing random search

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