CDF formulation for solving an optimal reinsurance problem
Year of publication: |
February-June 2017
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Authors: | Weng, Chengguo ; Zhuang, Sheng Chao |
Published in: |
Scandinavian actuarial journal. - Basingstoke : Taylor & Francis, ISSN 0346-1238, ZDB-ID 186753-2. - 2017, 5, p. 395-418
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Subject: | CDF formulation | Lagrangian dual method | optimal reinsurance | survival probability maximization | background risk | generalized Wang's premium principle | Mathematische Optimierung | Mathematical programming | Risikomodell | Risk model | Theorie | Theory | Rückversicherung | Reinsurance |
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