The effect of risk constraints on the optimal insurance policy

DOI10.1007/s13385-021-00300-2zbMath1503.91090OpenAlexW3209280177MaRDI QIDQ2677932

Jiandong Ren, Wenjun Jiang

Publication date: 9 January 2023

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-021-00300-2

zbMATH Keywords

expected utilityvalue-at-riskdistortion risk measureincentive compatibilitytail value-at-riskoptimal insurancemarginal indemnity function

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)

Cites Work

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