Marginal Indemnification Function formulation for optimal reinsurance
Sheng Chao Zhuang, Chengguo Weng, Ken Seng Tan, Hirbod Assa
| Year of publication: |
March 2016
|
|---|---|
| Authors: | Zhuang, Sheng Chao ; Weng, Chengguo ; Ken Seng Tan ; Assa, Hirbod |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 67.2016, p. 65-76
|
| Subject: | Optimal reinsurance | Marginal indemnification function | Lagrangian dual method | Distortion risk measure | Inverse-S shaped distortion premium principle | Rückversicherung | Reinsurance | Theorie | Theory | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming | Risikomodell | Risk model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2015.12.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011457155