Optimal reinsurance under the linear combination of risk measures in the presence of reinsurance loss limit
Year of publication: |
2023
|
---|---|
Authors: | Xiong, Qian ; Peng, Zuoxiang ; Nadarajah, Saralees |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 11.2023, 7, Art.-No. 125, p. 1-26
|
Subject: | expected value principle | loss limit constraint | optimal reinsurance | tail-value-at-risk | value-at-risk | Theorie | Theory | Rückversicherung | Reinsurance | Risikomaß | Risk measure | Risikomanagement | Risk management | Verlust | Loss |
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