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ArticleOptimal reinsurance with general risk measures

Alejandro Balbás2008

OA

Articlebronze2008

Optimal reinsurance with general risk measures

Alejandro Balbás · Beatriz Balbás B · Antonio Heras

130 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Insurance and Financial Risk Management Risk and Portfolio Optimization

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References

1999Coherent Measures of Risk 1979An introduction to mathematical risk theory 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices 1970Mathematical Methods in Risk Theory 2000A Class of Distortion Operators for Pricing Financial and Insurance Risks 2005Generalized deviations in risk analysis 1999From stochastic dominance to mean-risk models: Semideviations as risk measures 2002Dual Stochastic Dominance and Related Mean-Risk Models

Cited by

2013Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles 2011Optimal Reinsurance with General Premium Principles 2015Marginal Indemnification Function formulation for optimal reinsurance 2011Optimal reinsurance under general law-invariant risk measures 2011Optimality of general reinsurance contracts under CTE risk measure 2012Optimal Reciprocal Reinsurance Treaties Under the Joint Survival Probability and the Joint Profitable Probability

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Year2008

Typearticle

Published2008-12-01

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations130

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2008.11.008

openalex_workW2080381237

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2017Robust and Pareto optimality of insurance contracts

2015OPTIMAL REINSURANCE FROM THE PERSPECTIVES OF BOTH AN INSURER AND A REINSURER