Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs
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Publication:2665838
DOI10.1016/j.insmatheco.2020.06.008zbMath1475.91285OpenAlexW3034608894MaRDI QIDQ2665838
Publication date: 19 November 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.06.008
heterogeneous beliefsmultiple reinsurersdistortion risk measuresdistortion premium principleoptimal reinsurance design
Related Items (8)
Multiple per-claim reinsurance based on maximizing the Lundberg exponent ⋮ An insurer's optimal strategy towards a new independent business ⋮ Multi-constrained optimal reinsurance model from the duality perspectives ⋮ Equilibria and efficiency in a reinsurance market ⋮ Bowley solution under the reinsurer's default risk ⋮ Optimal insurance for a prudent decision maker under heterogeneous beliefs ⋮ Optimal insurance under maxmin expected utility ⋮ Concave/convex weighting and utility functions for risk: a new light on classical theorems
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