Discussion on the paper ‘Optimal reinsurance design based on risk measures: a review’ by Yichun Chi and Jun Cai

DOI10.1080/24754269.2020.1765129OpenAlexW3026748621MaRDI QIDQ5880020

Chengguo Weng

Publication date: 7 March 2023

Published in: Statistical Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/24754269.2020.1765129

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Marginal indemnification function formulation for optimal reinsurance
• Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework
• Optimal reinsurance under VaR and CTE risk measures
• Optimal reinsurance under risk and uncertainty
• On optimal reinsurance policy with distortion risk measures and premiums
• Empirical Approach for Optimal Reinsurance Design

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