Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework
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Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 1324089 (Why is no real title available?)
- scientific article; zbMATH DE number 1145157 (Why is no real title available?)
- A General Approach to the Strong Law of Large Numbers
- Analysis of Sample-Path Optimization
- Asymptotic analysis of stochastic programs
- Conditioning of convex piecewise linear stochastic programs
- Convergence Analysis of Stochastic Algorithms
- Empirical approach for optimal reinsurance design
- Empirical likelihood inference for Haezendonck-Goovaerts risk measure
- Inference for intermediate Haezendonck-Goovaerts risk measure
- Lectures on Stochastic Programming
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Maximal moment inequality for partial sums of strong mixing sequences and application
- Mean-CVaR portfolio selection: a nonparametric estimation framework
- Mixing: Properties and examples
- Multivariate reinsurance designs for minimizing an insurer's capital requirement
- Nonlinear time series. Nonparametric and parametric methods
- Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
- Nonparametric econometrics. Theory and practice.
- Nonparametric estimation of conditional VaR and expected shortfall
- Optimal Reinsurance Revisited – A Geometric Approach
- Optimal insurance under Wang's premium principle.
- Optimal reinsurance and stop-loss order
- Optimal reinsurance subject to Vajda condition
- Optimal reinsurance under VaR and CTE risk measures
- Optimal reinsurance under general law-invariant risk measures
- Optimal reinsurance under general risk measures
- Optimal reinsurance under mean-variance premium principles
- Optimal reinsurance with general risk measures
- Optimal reinsurance with positively dependent risks
- Optimal risk transfer under quantile-based risk measurers
- Optimality of general reinsurance contracts under CTE risk measure
- REGRESSION QUANTILES FOR TIME SERIES
- The jackknife and bootstrap
Cited in
(6)- Discussion on the paper ‘Optimal reinsurance design based on risk measures: a review’ by Yichun Chi and Jun Cai
- Euler allocations in the presence of nonlinear reinsurance: comment on Major (2018)
- Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with conditional value-at-risk (CVaR) constraint
- Optimal insurance contract specification in the upstream sector of the oil and gas industry
- Empirical tail risk management with model-based annealing random search
- Reinsurance of multiple risks with generic dependence structures
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