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Budget-Constrained Optimal Reinsurance Design Under Coherent Risk Measures
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Budget-Constrained Optimal Reinsurance Design Under Coherent Risk Measures (2017)Budget-Constrained Optimal Reinsurance De…Insurance with multiple insurers: A game-theoretic approach (2017)Insurance with multiple insur…Stochastic Finance (2016)Stochastic FinanceMarginal Indemnification Function formulation for optimal reinsurance (2015)Marginal Indemnification Func…Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles (2013)Optimal reinsurance minimizin…On Kusuoka Representation of Law Invariant Risk Measures (2012)On Kusuoka Representation of …Stochastic Finance (2011)Stochastic FinanceOptimality of general reinsurance contracts under CTE risk measure (2011)Optimality of general reinsur…Optimal reinsurance under general law-invariant risk measures (2011)Optimal reinsurance under gen…Minimax and risk averse multistage stochastic programming (2011)Minimax and risk averse multi…Optimal Reinsurance under VaR and CVaR Risk Measures: A Simplified Approach (2010)Optimal Reinsurance under VaR…Optimal reinsurance under VaR and CTE risk measures (2008)Optimal reinsurance under VaR…Actuarial Theory for Dependent Risks (2005)Actuarial Theory for Dependen…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…On law invariant coherent risk measures (2001)On law invariant coherent ris…Premium Calculation by Transforming the Layer Premium Density (1996)Premium Calculation by Transf…An attempt to determine the optimum amount of stop loss reinsurance (1960)An attempt to determine the o…Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Coherent Measures of Risk (1999)Coherent Risk Measures on General Probability Spaces (2002)On the coherence of expected shortfall (2002)Lectures on Stochastic Programming (2009)The concept of comonotonicity in actuarial science and finance: theory (2002)UNCERTAINTY AND THE WELFARE ECONOMICS OF MEDICAL CARE (2003)Optimal Reinsurance with General Premium Principles (2011)A risk-averse marketing strategy and its effect on coordination activities in a remanufacturing supply chain under market fluctuation (2017)Uncertainty and The Welfare Economics of Medical Care (2001)Convex measures of risk and trading constraints (2002)Characterizations of optimal reinsurance treaties: a cost-benefit approach (2015)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Optimal Reinsurance Revisited – A Geometric Approach (2010)Quantile-Based Risk Sharing (2018)Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine (1953)A theory of anticipated utility (1982)The Dual Theory of Choice under Risk (1987)Understanding Relationships Using Copulas (1998)Stochastic Processes for Insurance & Finance (1999)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)PORTFOLIO SELECTION* (1952)Optimization of conditional value-at-risk (2000)Making and Evaluating Point Forecasts (2011)OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (2011)COHERENCE AND ELICITABILITY (2014)Risk management with expectiles (2015)Lower tail dependence for Archimedean copulas: Characterizations and pitfalls (2006)Copulas: A Personal View (2009)The Advent of Copulas in Finance (2009)Generalized deviations in risk analysis (2005)Deep hedging (2019)Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps (2019)
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References

  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 1996Premium Calculation by Transforming the Layer Premium Density696 cited
  • 2001On law invariant coherent risk measures676 cited
  • 2005Actuarial Theory for Dependent Risks536 cited
  • 2011Stochastic Finance424 cited
  • 2016Stochastic Finance395 cited
  • 2008Optimal reinsurance under VaR and CTE risk measures256 cited
  • 1960An attempt to determine the optimum amount of stop loss reinsurance203 cited
  • 2010Optimal Reinsurance under VaR and CVaR Risk Measures: A Simplified Approach148 cited
  • 2013Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles121 cited
  • 2015Marginal Indemnification Function formulation for optimal reinsurance104 cited
  • 2012On Kusuoka Representation of Law Invariant Risk Measures103 cited
  • 2017Insurance with multiple insurers: A game-theoretic approach90 cited
  • 2011Optimal reinsurance under general law-invariant risk measures86 cited
  • 2011Minimax and risk averse multistage stochastic programming85 cited
  • 2011

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Optimality of general reinsurance contracts under CTE risk measure
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