A marginal indemnity function approach to optimal reinsurance under the Vajda condition
Tim J. Boonen, Wenjun Jiang
| Year of publication: |
2022
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|---|---|
| Authors: | Boonen, Tim J. ; Jiang, Wenjun |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 303.2022, 2 (1.12.), p. 928-944
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| Subject: | Backward-forward optimization | Distortion risk measure | Optimal reinsurance | Risk management | Vajda condition | Rückversicherung | Reinsurance | Risikomanagement | Risikomaß | Risk measure | Theorie | Theory | Risikomodell | Risk model | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2022.03.020 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013364047