Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
Haiyan Liu, Tiantian Mao
| Year of publication: |
2022
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|---|---|
| Authors: | Liu, Haiyan ; Mao, Tiantian |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 107.2022, p. 393-417
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| Subject: | Value-at-Risk | Conditional Value-at-Risk | Distributional robust reinsurance | Uncertainty | Stop-loss | Risikomaß | Risk measure | Theorie | Theory | Rückversicherung | Reinsurance | Robustes Verfahren | Robust statistics | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | ARCH-Modell | ARCH model | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2022.09.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013471260