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Budget-constrained optimal reinsurance design under coherent risk measures - MaRDI portal

Budget-constrained optimal reinsurance design under coherent risk measures (Q5242227)

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scientific article; zbMATH DE number 7127018
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English
Budget-constrained optimal reinsurance design under coherent risk measures
scientific article; zbMATH DE number 7127018

    Statements

    title
    Budget-constrained optimal reinsurance design under coherent risk measures (English)
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    author
    Ka Chun Cheung
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    Ambrose Lo
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    Wing Fung Chong
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    publication date
    6 November 2019
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    zbMATH Keywords
    budget constraint
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    distortion
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    TVaR
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    mini-max theorem
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    Neyman-Pearson
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    cites work
    Q5386174
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    Q5560061
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    Q2774021
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    Q4552656
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    Q4235027
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    Identifiers

    zbMATH DE Number
    7127018
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    OpenAlex ID
    W2772420397
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