Convex risk functionals : representation and applications
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 |
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