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A NEYMAN-PEARSON PERSPECTIVE ON OPTIMAL REINSURANCE WITH CONSTRAINTS - MaRDI portal

A NEYMAN-PEARSON PERSPECTIVE ON OPTIMAL REINSURANCE WITH CONSTRAINTS (Q4563801)

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scientific article; zbMATH DE number 6880361
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English
A NEYMAN-PEARSON PERSPECTIVE ON OPTIMAL REINSURANCE WITH CONSTRAINTS
scientific article; zbMATH DE number 6880361

    Statements

    title
    A NEYMAN-PEARSON PERSPECTIVE ON OPTIMAL REINSURANCE WITH CONSTRAINTS (English)
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    author
    Ambrose Lo
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    publication date
    4 June 2018
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    zbMATH Keywords
    distortion
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    1-Lipschitz
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    value-at-risk
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    reciprocal reinsurance
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    signed measure
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    cites work
    Q4498016
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    Identifiers

    DOI
    10.1017/asb.2016.42
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    Mathematics Subject Classification ID
    91B30
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    62P05
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    91G70
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    zbMATH DE Number
    6880361
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    OpenAlex ID
    W2572435879
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