Nonlinearly transformed risk measures: properties and application to optimal reinsurance

DOI10.1080/03461238.2019.1670249zbMath1447.91128OpenAlexW2976921869MaRDI QIDQ5117678

Wolfgang Kürsten, Mario Brandtner, Robert Rischau

Publication date: 26 August 2020

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2019.1670249

zbMATH Keywords

optimal reinsurancedisutility based risk measurenonlinearly transformed risk measurestail nonlinearly transformed risk measureweighted expected shortfall

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)

Related Items (1)

Portfolio selection with tail nonlinearly transformed risk measures—a comparison with mean-CVaR analysis

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