Euler allocations in the presence of nonlinear reinsurance: comment on Major (2018)

DOI10.1016/j.insmatheco.2018.09.001zbMath1417.91282OpenAlexW2795067302MaRDI QIDQ1622506

Pietro Millossovich, Silvana M. Pesenti, Andreas Tsanakas

Publication date: 19 November 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.09.001

zbMATH Keywords

aggregationreinsurancecapital allocationEuler allocationdistortion risk measuresAumann-Shapley

Mathematics Subject Classification ID

Related Items

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Cites Work

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