Optimal reinsurance under the Haezendonck risk measure

DOI10.1016/j.spl.2013.01.008zbMath1264.91077OpenAlexW2055881735MaRDI QIDQ1950759

Yi Zhang, Yunzhou Zhu, Zhang, Lixin

Publication date: 13 May 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.01.008

zbMATH Keywords

optimal reinsurancebudget constraintCVaRHaezendonck risk measureexpectation principle

Mathematics Subject Classification ID

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