Pareto-optimal reinsurance policies in the presence of individual risk constraints
type: Item
instance of: scholarly article
title: Pareto-optimal reinsurance policies in the presence of individual risk constraints
zbMATH Open document ID: 1419.91378
author: Ambrose Lo
author: Zhaofeng Tang
published in: Annals of Operations Research
publication date: 2019-03-06T00:00:00Z
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 7032699
zbMATH Keywords: distortion
zbMATH Keywords: 1-Lipschitz
zbMATH Keywords: value-at-risk
zbMATH Keywords: Pareto frontier
zbMATH Keywords: multi-criteria optimization
zbMATH Keywords: risk sharing
MaRDI profile type: Publication
full work available at URL: s10479-018-2820-4
OpenAlex ID: W2794463301
cites work: Q5386174
cites work: Financial portfolio management through the goal programming model: current state-of-the-art
cites work: Optimal risk transfer under quantile-based risk measurers
cites work: On optimal reinsurance policy with distortion risk measures and premiums
cites work: OPTIMAL REINSURANCE FROM THE PERSPECTIVES OF BOTH AN INSURER AND A REINSURER
cites work: Pareto-optimal reinsurance arrangements under general model settings
cites work: Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
cites work: Optimal reinsurance under VaR and CTE risk measures
cites work: Characterizations of optimal reinsurance treaties: a cost-benefit approach
cites work: Optimal reinsurance under VaR and CVaR risk measures a simplified approach
cites work: Optimal VaR-based risk management with reinsurance
cites work: Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
cites work: Risk Measures and Comonotonicity: A Review
cites work: Multicriteria Optimization
cites work: Q3868650
cites work: Optimal risk sharing with general deviation measures
cites work: Optimal reinsurance revisited point of view of cedent and reinsurer
cites work: Preface: Multiple criteria optimization and goal programming in science, engineering, and social sciences
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: Optimal risk sharing under distorted probabilities
cites work: A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification
cites work: Multiple Criteria Decision Making, Multiattribute Utility Theory: Recent Accomplishments and What Lies Ahead
cites work: The Dual Theory of Choice under Risk
cites work: An equivalent transformation of multi-objective optimization problems
cites work: Marginal indemnification function formulation for optimal reinsurance
cites work: Handbook of multicriteria analysis
DOI: 10.1007/S10479-018-2820-4
description: scientific article; zbMATH DE number 7032699