Optimal reinsurance under VaR and CTE risk measures
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Publication:938052
DOI10.1016/j.insmatheco.2008.05.011zbMath1140.91417MaRDI QIDQ938052
Yi Zhang, Chengguo Weng, Ken Seng Tan, Jun Cai
Publication date: 18 August 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.05.011
value-at-risk (VaR); expectation premium principle; quota-share reinsurance; conditional tail expectation (CTE); stop-loss reinsurance; ceded loss; change-loss reinsurance; increasing convex function; retained loss
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- Optimal reinsurance under convex principles of premium calculation
- An extension of Arrow's result on optimality of a stop loss contract
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- Optimal reinsurance under mean-variance premium principles