CDF formulation for solving an optimal reinsurance problem
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Publication:4575473
DOI10.1080/03461238.2016.1167114zbMath1401.91200OpenAlexW2333684438MaRDI QIDQ4575473
Sheng Chao Zhuang, Chengguo Weng
Publication date: 13 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2016.1167114
optimal reinsurancebackground riskLagrangian dual methodCDF formulationgeneralized Wang's premium principlesurvival probability maximization
Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15)
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