Optimal insurance design under Vajda condition and exclusion clauses

DOI10.1080/03610926.2020.1860223MaRDI QIDQ5096008zbMATH OpenOpenAlexFDO

Authors Yanhong Chen, Yijun Hu

Publication date 12 August 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2020.1860223

zbMATH Keywords

cost of capitaloptimal insurance with exclusion clausesrisk measuretail value at riskVajda conditionvalue at risk

Mathematics Subject Classification ID

Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Stochastic models in economics (91B70)

Cites work

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• Reinsurance arrangements minimizing the risk-adjusted value of an insurer's liability
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• Some Results on Optimal Reinsurance in Terms of the Adjustment Coefficient
• Stochastic finance. An introduction in discrete time
• The optimal insurance under disappointment theories
• The safest dependence structure among risks.

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