Balbás, Alejandro; Balbás, Beatriz; Heras, Antonio - Departamento de Economía de la Empresa, Universidad … - 2010
The optimal reinsurance problem is a classic topic in Actuarial Mathematics. Recent approaches consider a coherent or expectation bounded risk measure and minimize the global risk of the ceding company under adequate constraints. However, there is no consensus about the risk measure that the...