Optimal stop-loss reinsurance under the VaR and CTE risk measures : variable transformation method
Junhong Du, Zhiming Li, Lijun Wu
| Year of publication: |
2019
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| Authors: | Du, Junhong ; Li, Zhiming ; Wu, Lijun |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 53.2019, 3, p. 1133-1151
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| Subject: | Conditional tail expectation (CTE) | Expected value principle | Stop-loss reinsurance | Value at risk (VaR) | Variable transformation | Risikomaß | Risk measure | Rückversicherung | Reinsurance | Theorie | Theory | Risikomanagement | Risk management | Risiko | Risk | Risikomodell | Risk model | VAR-Modell | VAR model | Erwartungsbildung | Expectation formation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-017-9778-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012135119