A marginal indemnity function approach to optimal reinsurance under the Vajda condition

DOI10.1016/j.ejor.2022.03.020OpenAlexW4221095861WikidataQ113875415 ScholiaQ113875415MaRDI QIDQ2158053

Wenjun Jiang, Tim J. Boonen

Publication date: 22 July 2022

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2022.03.020

zbMATH Keywords

optimal reinsurancerisk managementdistortion risk measurebackward-forward optimizationVajda condition

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Related Items (4)

An insurer's optimal strategy towards a new independent business ⋮ Multi-constrained optimal reinsurance model from the duality perspectives ⋮ Optimal risk management with reinsurance and its counterparty risk hedging ⋮ Reinsurance games with two reinsurers: tree versus chain

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