Budget-constrained optimal reinsurance design under coherent risk measures
Year of publication: |
2019
|
---|---|
Authors: | Cheung, Ka Chun ; Chong, Wing Fung ; Lo, Ambrose |
Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2019.2019, 9, p. 729-751
|
Subject: | Budget constraint | distortion | mini-max theorem | Neyman-Pearson | TVaR | Theorie | Theory | Rückversicherung | Reinsurance | Risikomaß | Risk measure | Budgetrestriktion |
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