Optimal Reinsurance Revisited – A Geometric Approach

DOI10.2143/AST.40.1.2049226zbMath1230.91070OpenAlexW2252980504MaRDI QIDQ3569712

Ka Chun Cheung

Publication date: 21 June 2010

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.40.1.2049226

zbMATH Keywords

value-at-riskreinsuranceconditional tail expectationincreasing convex functionWang's premium principleexpectation premium principle: comonotinicity

Mathematics Subject Classification ID

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