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Budget-Constrained Optimal Reinsurance Design Under Coherent Risk Measures · Study

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ArticleBudget-Constrained Optimal Reinsurance Design Under Coherent Risk Measures

Ka Chun Cheung2017

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Articlegreen2017

Budget-Constrained Optimal Reinsurance Design Under Coherent Risk Measures

Ka Chun Cheung · Wing Fung Chong · Ambrose Lo

31 citations·0/0 files stored·Scandinavian Actuarial Journal

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

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References

2002Conditional value-at-risk for general loss distributions 1996Premium Calculation by Transforming the Layer Premium Density 2001On law invariant coherent risk measures 2005Actuarial Theory for Dependent Risks 2011Stochastic Finance 2016Stochastic Finance 2008Optimal reinsurance under VaR and CTE risk measures 1960An attempt to determine the optimum amount of stop loss reinsurance

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Year2017

Typearticle

Published2017-01-01

VenueScandinavian Actuarial Journal

ISSN-L0346-1238

Languageen

Citations31

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1080/03461238.2019.1598891

openalex_workW2772420397

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