Optimal risk transfer under quantile-based risk measurers
Year of publication: |
2013
|
---|---|
Authors: | Asimit, Alexandru V. ; Badescu, Alexandru M. ; Verdonck, Tim |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 53.2013, 1, p. 252-265
|
Publisher: |
Elsevier |
Subject: | Expected shortfall | Distorted risk measure | Premium principle | Optimal reinsurance | Truncated tail value-at-risk | Value-at-risk |
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