Optimal limited stop-loss reinsurance under VaR, TVaR, and CTE risk measures

DOI10.1155/2015/143739zbMath1394.91244OpenAlexW1949567052WikidataQ59117362 ScholiaQ59117362MaRDI QIDQ1664753

Huadong Zhang, Qingquan Fan, Xianhua Zhou

Publication date: 27 August 2018

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2015/143739

Mathematics Subject Classification ID

Related Items (3)

Optimal premium allocation under stop-loss insurance using exposure curves ⋮ How Much Is Optimal Reinsurance Degraded by Error? ⋮ Optimal quota-share and stop-loss reinsurance from the perspectives of insurer and reinsurer

Cites Work

• Unnamed Item
• Unnamed Item
• Optimal reinsurance under general risk measures
• Optimal reinsurance under VaR and CTE risk measures
• Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
• Insurer's optimal reinsurance strategies
• A synthesis of risk measures for capital adequacy
• Optimal excess-of-loss reinsurance and investment polices under the CEV model
• Optimal reinsurance subject to Vajda condition
• Solvency II, regulatory capital, and optimal reinsurance: how good are conditional value-at-risk and spectral risk measures?
• Coherent Measures of Risk
• Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach
• Mean-Variance Optimal Reinsurance Arrangements
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures

This page was built for publication: Optimal limited stop-loss reinsurance under VaR, TVaR, and CTE risk measures