Pareto-optimal reinsurance policies in the presence of individual risk constraints

DOI10.1007/s10479-018-2820-4zbMath1419.91378OpenAlexW2794463301MaRDI QIDQ1730722

Zhaofeng Tang, Ambrose Lo

Publication date: 6 March 2019

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-018-2820-4

zbMATH Keywords

distortionvalue-at-riskrisk sharingPareto frontiermulti-criteria optimization1-Lipschitz

Mathematics Subject Classification ID

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