Optimal reinsurance under dynamic VaR constraint (Q2374115)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal reinsurance under dynamic VaR constraint |
scientific article |
Statements
Optimal reinsurance under dynamic VaR constraint (English)
0 references
14 December 2016
0 references
HJB equation
0 references
dynamic value-at-risk (VaR)
0 references
conditional value-at-risk (CVaR)
0 references
worst-case CVaR (wcCVaR)
0 references
survival probability
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
