Discussion of “optimal reinsurance designs based on risk measures: a review” by Jun Cai and Yichun Chi

DOI10.1080/24754269.2020.1777026OpenAlexW3036331850MaRDI QIDQ5880022

Ambrose Lo

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/10.1080/24754269.2020.1777026

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Marginal indemnification function formulation for optimal reinsurance
• Pareto-optimal reinsurance policies in the presence of individual risk constraints
• Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
• Average Value-at-Risk Minimizing Reinsurance under Wang's Premium Principle with Constraints
• Mathematical Statistics
• OPTIMAL REINSURANCE FROM THE PERSPECTIVES OF BOTH AN INSURER AND A REINSURER
• A NEYMAN-PEARSON PERSPECTIVE ON OPTIMAL REINSURANCE WITH CONSTRAINTS
• Characterizations of optimal reinsurance treaties: a cost-benefit approach
• A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints
• Optimal reinsurance designs based on risk measures: a review

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