Restricted optimal retention in stop-loss reinsurance under VaR and CTE risk measures

zbMATH Open1324.91014MaRDI QIDQ5263014FDOQ5263014

Authors: Silvia Dedu, Roxana Ciumara 

Publication date: 10 July 2015

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• scientific article; zbMATH DE number 6160790
• Optimal reinsurance under VaR and CVaR risk measures a simplified approach
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zbMATH Keywords

optimizationvalue-at-riskreinsurancerisk measureretention

Mathematics Subject Classification ID

Cited In (9)

• Optimal combinational of quota-share and stop-loss reinsurance contracts under VaR and CTE with a constrained reinsurance premium
• Estimating covariate functions associated to multivariate risks: a level set approach
• Optimal retention for a stop-loss reinsurance in dependent risks under the VaR risk measure
• Restricted optimal retention in stop-loss reinsurance under VaR risk measure
• Optimal stop-loss reinsurance with joint utility constraints
• Optimal limited stop-loss reinsurance under VaR, TVaR, and CTE risk measures
• Optimal retention for a stop-loss reinsurance with incomplete information
• VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures

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