Pareto-optimal reinsurance arrangements under general model settings
type: Item
instance of: scholarly article
title: Pareto-optimal reinsurance arrangements under general model settings
zbMATH Open document ID: 1422.91329
author: Jun Cai
author: Haiyan Liu
author: Ruodu Wang
published in: Insurance Mathematics \& Economics
publication date: 2017-11-23T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6811594
zbMATH Keywords: Pareto optimality
zbMATH Keywords: optimal reinsurance
zbMATH Keywords: comonotonic-semilinearity
zbMATH Keywords: comonotonic-convexity
zbMATH Keywords: tail-value-at-risk
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2017.08.004
OpenAlex ID: W2586328217
cites work: General Pareto Optimal Allocations and Applications to Multi-Period Risks
cites work: OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY
cites work: Q3277804
cites work: OPTIMAL REINSURANCE FROM THE PERSPECTIVES OF BOTH AN INSURER AND A REINSURER
cites work: Optimal reinsurance with positively dependent risks
cites work: Characterizations of optimal reinsurance treaties: a cost-benefit approach
cites work: Optimal reinsurance under general law-invariant risk measures
cites work: Optimal reinsurance under VaR and CVaR risk measures a simplified approach
cites work: Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
cites work: The concept of comonotonicity in actuarial science and finance: theory.
cites work: Optimal capital and risk allocations for law- and cash-invariant convex functions
cites work: Optimal reinsurance revisited point of view of cedent and reinsurer
cites work: OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
cites work: On convex risk measures on \(L^{p}\)-spaces
cites work: A NEYMAN-PEARSON PERSPECTIVE ON OPTIMAL REINSURANCE WITH CONSTRAINTS
cites work: A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints
cites work: Q5599348
cites work: Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
DOI: 10.1016/J.INSMATHECO.2017.08.004
description: scientific article; zbMATH DE number 6811594