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

MaRDI QIDQ5263014zbMATH OpenFDO

Authors Silvia Dedu, Roxana Ciumara

Publication date 10 July 2015

zbMATH Keywords

optimizationvalue-at-riskreinsurancerisk measureretention

Mathematics Subject Classification ID

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Cited in

(9)

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

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