Optimal combinational of quota-share and stop-loss reinsurance contracts under VaR and CTE with a constrained reinsurance premium

DOI10.1007/s11424-011-7127-3zbMath1231.91264OpenAlexW2032242673MaRDI QIDQ545460

Ming Zhou, Jing-Feng Xu, Hong-Bin Dong

Publication date: 22 June 2011

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-011-7127-3

zbMATH Keywords

reinsurancevalue at risk (VaR)conditioned tailed expectation (CTE)quota-share after stop-lossstop-loss after quota-share

Mathematics Subject Classification ID

Cites Work

• Optimal reinsurance under general risk measures
• Optimal reinsurance under VaR and CTE risk measures
• Reinsurance and ruin
• Excess of loss reinsurance and Gerber's inequality in the Sparre Andersen model.
• Optimal reinsurance programs: an optimal combination of several reinsurance protections on a heterogeneous insurance portfolio.
• Insurer's optimal reinsurance strategies
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Truncated Stop Loss as Optimal Reinsurance Agreement in One-period Models
• Optimal reinsurance under mean-variance premium principles
• Unnamed Item

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