Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework

DOI10.1016/j.insmatheco.2016.11.006zbMath1394.91232OpenAlexW2558010647MaRDI QIDQ506091

Yi Zhang, Chengguo Weng, Haoze Sun

Publication date: 31 January 2017

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.11.006

zbMATH Keywords

bootstrapkernel estimationnonparametric model\(\alpha\)-mixing processmean-CVaRmultiple optimal reinsurance

Mathematics Subject Classification ID

Related Items (4)

Discussion on the paper ‘Optimal reinsurance design based on risk measures: a review’ by Yichun Chi and Jun Cai ⋮ Reinsurance of multiple risks with generic dependence structures ⋮ Empirical tail risk management with model-based annealing random search ⋮ Optimal insurance contract specification in the upstream sector of the oil and gas industry

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