Optimal reinsurance under the general mixture risk measures

DOI10.1016/j.amc.2006.06.120zbMath1283.91085OpenAlexW2074394683MaRDI QIDQ870154

Yusong Cao, Yi Zhang

Publication date: 12 March 2007

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2006.06.120

zbMATH Keywords

Lagrangian functionreinsuranceexpected value principlevariance risk measure

Mathematics Subject Classification ID

Related Items (2)

Proportional and excess-of-loss reinsurance under investment gains ⋮ Optimal joint survival reinsurance: an efficient frontier approach

Cites Work

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• Optimal reinsurance under general risk measures
• Optimal reinsurance under convex principles of premium calculation
• Insurer's optimal reinsurance strategies
• Optimal reinsurance in relation to ordering of risks
• Some mathematical aspects of reinsurance
• Optimal reinsurances
• Optimal reinsurance under mean-variance premium principles

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