Budget-constrained optimal reinsurance design under coherent risk measures

DOI10.1080/03461238.2019.1598891zbMath1426.91209OpenAlexW2772420397MaRDI QIDQ5242227

Ka Chun Cheung, Ambrose Lo, Wing Fung Chong

Publication date: 6 November 2019

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

Full work available at URL: https://doi.org/10.1080/03461238.2019.1598891

zbMATH Keywords

distortionbudget constraintTVaRmini-max theoremNeyman-Pearson

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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