Risk reducers in convex order

DOI10.1016/j.insmatheco.2016.05.009zbMath1371.91091OpenAlexW2405579374MaRDI QIDQ2520435

Junnan He, Huan Zhang, Qi-he Tang

Publication date: 13 December 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.05.009

zbMATH Keywords

convex hulloptimal reinsurancemultivariate stochastic orderingco/counter-monotonicityindex-linked hedging strategies

Mathematics Subject Classification ID

Related Items (4)

Monotone tail functions: definitions, properties, and application to risk-reducing strategies ⋮ LLN-type approximations for large portfolio losses ⋮ Preserving the Rothschild-Stiglitz type increase in risk with background risk: a characterization ⋮ UNIVERSALLY MARKETABLE INSURANCE UNDER MULTIVARIATE MIXTURES

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