Optimal reinsurance with probabilistic constraints under distortion risk measure
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Publication:6200370
DOI10.12386/A20180105MaRDI QIDQ6200370FDOQ6200370
Authors: Jian-Zhang Zhu, Zhang Liu, Xinyan Wang, Yijun Hu 
Publication date: 22 March 2024
Recommendations
- Reinsurer's optimal reinsurance strategy with upper and lower premium constraints under distortion risk measures
- Optimal reinsurance with premium constraint under distortion risk measures
- Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
- Optimal reinsurance under distortion risk measures and expected value premium principle for reinsurer
- On Pareto-optimal reinsurance with constraints under distortion risk measures
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