Optimal reinsurance with probabilistic constraints under distortion risk measure
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Publication:6200370
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
Cites work
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- Optimal reinsurance under mean-variance premium principles
- Optimal reinsurance with general risk measures
- Optimal reinsurance with premium constraint under distortion risk measures
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