Optimal Reinsurance Under VaR and CTE Risk Measures When Ceded Loss Function is Concave
type: Item
instance of: scholarly article
title: Optimal Reinsurance Under VaR and CTE Risk Measures When Ceded Loss Function is Concave
zbMATH Open document ID: 1297.91091
DOI: 10.1080/03610926.2012.716136
author: ZhiYi Lu
author: Leping Liu
author: Qingjie Shen
author: LiLi Meng
publication date: 2014-10-14T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60E15
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6355091
zbMATH Keywords: optimal reinsurance
zbMATH Keywords: value-at-risk
zbMATH Keywords: conditional tail expectation
zbMATH Keywords: increasing concave function
zbMATH Keywords: quota-share reinsurance
zbMATH Keywords: full reinsurance
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/03610926.2012.716136
OpenAlex ID: W2074220525
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cites work: Optimal insurance in the presence of insurer's loss limit
published in: Communications in Statistics. Theory and Methods
description: scientific article; zbMATH DE number 6355091