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

zbMATH Open1324.91014MaRDI QIDQ5263014FDOQ5263014

Silvia Dedu, Roxana Ciumara

Publication date: 10 July 2015

Recommendations

• Restricted optimal retention in stop-loss reinsurance under VaR risk measure
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• scientific article; zbMATH DE number 6160790
• Optimal reinsurance under VaR and CVaR risk measures a simplified approach
• VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance

zbMATH Keywords

optimizationvalue-at-riskreinsurancerisk measureretention

Mathematics Subject Classification ID

Cited In (4)

• Estimating covariate functions associated to multivariate risks: a level set approach
• 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

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