Multi-constrained optimal reinsurance model from the duality perspectives
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Cites work
- A hybrid method combining continuous tabu search and Nelder--Mead simplex algorithms for the global optimization of multiminima functions
- A marginal indemnity function approach to optimal reinsurance under the Vajda condition
- A Neyman-Pearson perspective on optimal reinsurance with constraints
- A Simplex Method for Function Minimization
- A unifying approach to constrained and unconstrained optimal reinsurance
- A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints
- Average value-at-risk minimizing reinsurance under Wang's premium principle with constraints
- Budget-constrained optimal insurance with belief heterogeneity
- Budget-constrained optimal reinsurance design under coherent risk measures
- Characterizations of optimal reinsurance treaties: a cost-benefit approach
- scientific article; zbMATH DE number 1274356 (Why is no real title available?)
- scientific article; zbMATH DE number 1860211 (Why is no real title available?)
- Marginal indemnification function formulation for optimal reinsurance
- Mathematical Statistics
- Nelder-Mead Simplex Modifications for Simulation Optimization
- Numerical Optimization
- On convex principles of premium calculation
- On optimal reinsurance policy with distortion risk measures and premiums
- On Pareto-optimal reinsurance with constraints under distortion risk measures
- On the existence of a representative reinsurer under heterogeneous beliefs
- Operational Risk
- Optimal insurance under Wang's premium principle.
- Optimal reinsurance for both an insurer and a reinsurer under general premium principles
- Optimal reinsurance from the perspectives of both an insurer and a reinsurer
- Optimal reinsurance in the presence of counterparty default risk
- Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
- Optimal reinsurance revisited point of view of cedent and reinsurer
- Optimal Reinsurance Revisited – A Geometric Approach
- Optimal reinsurance under distortion risk measures and expected value premium principle for reinsurer
- Optimal reinsurance under general law-invariant risk measures
- Optimal reinsurance under VaR and CTE risk measures
- Optimal reinsurance under VaR and CVaR risk measures a simplified approach
- Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit
- Optimal reinsurance with expectile
- Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs
- Optimal reinsurance with premium constraint under distortion risk measures
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Optimal risk sharing with background risk
- Optimal risk transfer under quantile-based risk measurers
- Optimality of general reinsurance contracts under CTE risk measure
- Pareto-optimal insurance contracts with premium budget and minimum charge constraints
- Pareto-optimal reinsurance arrangements under general model settings
- Pareto-optimal reinsurance policies in the presence of individual risk constraints
- Redistribution of longevity risk: the effect of heterogeneous mortality beliefs
- Risk Measures and Comonotonicity: A Review
- Testing Statistical Hypotheses
- The concept of comonotonicity in actuarial science and finance: theory.
- Theoretical statistics. Topics for a core course
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