Are quantile risk measures suitable for risk-transfer decisions?

DOI10.1016/j.insmatheco.2012.02.006zbMath1262.91093OpenAlexW2089620296MaRDI QIDQ414617

M. L. Centeno, Manuel C. Guerra

Publication date: 11 May 2012

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.02.006

zbMATH Keywords

coherent risk measuresoptimal reinsurancevalue at riskquantile risk measuresconditional tail expectationtruncated stop loss

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of mathematical programming (90C90)

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