Solvency II, regulatory capital, and optimal reinsurance : how good are conditional value-at-risk and spectral risk measures?
Year of publication: |
2014
|
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Authors: | Brandtner, Mario ; Kürsten, Wolfgang |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 59.2014, p. 156-167
|
Subject: | Optimal reinsurance | Stop-loss | Optimal deductible | Spectral risk measures | Conditional Value-at-Risk | Theorie | Theory | Risikomaß | Risk measure | Rückversicherung | Reinsurance | Portfolio-Management | Portfolio selection | Basler Akkord | Basel Accord | Risikomanagement | Risk management |
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