Optimal retention for a stop-loss reinsurance with incomplete information
DOI10.1016/J.INSMATHECO.2015.08.005zbMATH Open1348.91149OpenAlexW1156022288MaRDI QIDQ896205FDOQ896205
Xiang Hu, Hailiang Yang, Lianzeng Zhang
Publication date: 14 December 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/231320
Recommendations
- Restricted optimal retention in stop-loss reinsurance under VaR risk measure
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Restricted optimal retention in stop-loss reinsurance under VaR and CTE risk measures
- scientific article; zbMATH DE number 6160790
- Optimal reinsurance under VaR and CTE risk measures
value-at-riskstochastic ordersexpectation premium principleoptimal retentionstop-loss reinsurancedistribution-free approximation
Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15)
Cites Work
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- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Optimality of general reinsurance contracts under CTE risk measure
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- Distribution-free option pricing
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- Optimal reinsurance with positively dependent risks
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- Title not available (Why is that?)
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Cited In (10)
- Optimal reinsurance designs based on risk measures: a review
- Reinsurance premium principles based on weighted loss functions
- De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information
- Distributionally robust reinsurance with expectile
- Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer
- Optimal stop-loss reinsurance with joint utility constraints
- Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
- Optimal reinsurance with model uncertainty and Stackelberg game
- Empirical tail risk management with model-based annealing random search
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
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