Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit
ZhiYi Lu, LiLi Meng, Yujin Wang, Qingjie Shen
| Year of publication: |
May 2016
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|---|---|
| Authors: | Lu, ZhiYi ; Meng, LiLi ; Wang, Yujing ; Shen, Qingjie |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 68.2016, p. 92-100
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| Subject: | Optimal reinsurance | Value-at-risk (VaR) | Tail value-at-risk (TVaR) | Risk limit | Two-layer reinsurance | Expectation premium principle | Risikomaß | Risk measure | Rückversicherung | Reinsurance | Risikomanagement | Risk management | Risiko | Risk | Theorie | Theory | Risikomodell | Risk model | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.03.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011492551