Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit

DOI10.1016/j.insmatheco.2016.03.001zbMath1369.91091OpenAlexW2299833805MaRDI QIDQ320272

ZhiYi Lu, Qingjie Shen, Yujin Wang, LiLi Meng

Publication date: 6 October 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.03.001

zbMATH Keywords

optimal reinsurancevalue-at-risk (VaR)expectation premium principlerisk limittail value-at-risk (TVaR)two-layer reinsurance

Mathematics Subject Classification ID

Related Items (5)

VaR and CTE based optimal reinsurance from a reinsurer's perspective ⋮ A NEYMAN-PEARSON PERSPECTIVE ON OPTIMAL REINSURANCE WITH CONSTRAINTS ⋮ Optimal reinsurance with default risk: a reinsurer's perspective ⋮ Optimal reinsurance policy under a new distortion risk measure ⋮ Multi-constrained optimal reinsurance model from the duality perspectives

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