Optimal reinsurance under VaR and CTE risk measures

DOI10.1016/J.INSMATHECO.2008.05.011zbMATH Open1140.91417OpenAlexW2067009897MaRDI QIDQ938052FDOQ938052

Authors: Jun Cai, Ken Seng Tan, Chengguo Weng, Yi Zhang

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

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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

Mathematics Subject Classification ID

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