Optimality of general reinsurance contracts under CTE risk measure (Q634001)
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scientific article; zbMATH DE number 5934938
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimality of general reinsurance contracts under CTE risk measure |
scientific article; zbMATH DE number 5934938 |
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Optimality of general reinsurance contracts under CTE risk measure (English)
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2 August 2011
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optimal reinsurance
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ceded loss function
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conditional tail expectation (CTE)
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expectation premium principle
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convex analysis
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Lagrangian method
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directional derivative
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subdifferential
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