Optimal VaR-based risk management with reinsurance

DOI10.1007/s10479-014-1584-8zbMath1341.91089OpenAlexW2067761883MaRDI QIDQ286007

Ken Seng Tan, Jianfa Cong

Publication date: 19 May 2016

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-014-1584-8

zbMATH Keywords

optimal strategyrisk managementreinsurancevalue-at-risk (VaR)counterparty riskmonotonic piecewise premium principlemultiple reinsurers

Mathematics Subject Classification ID

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