Convex risk functionals : representation and applications
Fangda Liu, Jun Cai, Christiane Lemieux, Ruodu Wang
| Year of publication: |
2020
|
|---|---|
| Authors: | Liu, Fangda ; Cai, Jun ; Lemieux, Christiane ; Wang, Ruodu |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 90.2020, p. 66-79
|
| Subject: | Budget constraint | Dual representation | Law-invariant convex risk functional | Optimal reinsurance design | Robust evaluation | Theorie | Theory | Risiko | Risk | Rückversicherung | Reinsurance | Robustes Verfahren | Robust statistics | Entscheidung unter Risiko | Decision under risk | Nutzenfunktion | Utility function |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2019.10.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012169500