Optimality of general reinsurance contracts under CTE risk measure
From MaRDI portal
Publication:634001
DOI10.1016/j.insmatheco.2011.03.002zbMath1218.91097OpenAlexW2055274927MaRDI QIDQ634001
Ken Seng Tan, Yi Zhang, Chengguo Weng
Publication date: 2 August 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.03.002
subdifferentialLagrangian methodoptimal reinsuranceconvex analysisdirectional derivativeexpectation premium principleceded loss functionconditional tail expectation (CTE)
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Uses Software
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