Optimal reinsurance under dynamic VaR constraint
Nan Zhang, Zhuo Jin, Shuanming Li, Ping Chen
| Year of publication: |
November 2016
|
|---|---|
| Authors: | Zhang, Nan ; Jin, Zhuo ; Li, Shuanming ; Chen, Ping |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 71.2016, p. 232-243
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| Subject: | HJB equation | Dynamic Value-at-Risk (VaR) | Conditional Value-at-Risk (CVaR) | Worst-case CVaR (wcCVaR) | Survival probability | Risikomaß | Risk measure | VAR-Modell | VAR model | Rückversicherung | Reinsurance | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.09.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011630794