Optimality of general reinsurance contracts under CTE risk measure

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

zbMATH Keywords

subdifferentialLagrangian methodoptimal reinsuranceconvex analysisdirectional derivativeexpectation premium principleceded loss functionconditional tail expectation (CTE)

Mathematics Subject Classification ID

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Uses Software

• QRM

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