OPTIMAL REINSURANCE FROM THE VIEWPOINTS OF BOTH AN INSURER AND A REINSURER UNDER THE CVAR RISK MEASURE AND VAJDA CONDITION

DOI10.1017/asb.2021.9zbMath1479.91313OpenAlexW3155635351MaRDI QIDQ5152552

Yan-Hong Chen

Publication date: 24 September 2021

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

Full work available at URL: https://doi.org/10.1017/asb.2021.9

zbMATH Keywords

optimal reinsurancerisk measureconditional value-at-riskVajda condition

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Risk models (general) (91B05) Actuarial mathematics (91G05)

Related Items (2)

A marginal indemnity function approach to optimal reinsurance under the Vajda condition ⋮ Risk measures induced by efficient insurance contracts

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