Multi-constrained optimal reinsurance model from the duality perspectives
Year of publication: |
2023
|
---|---|
Authors: | Cheung, Ka Chun ; He, Wanting ; Wang, He |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 113.2023, p. 199-214
|
Subject: | Distortion risk measure | Duality | Generalized Neyman-Pearson lemma | Optimal reinsurance | Theorie | Theory | Rückversicherung | Reinsurance | Risikomaß | Risk measure | Risikomodell | Risk model | Duales Optimierungsproblem | Dual optimization problem |
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