Multivariate reinsurance designs for minimizing an insurer's capital requirement
Year of publication: |
2014
|
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Authors: | Zhu, Yunzhou ; Chi, Yichun ; Weng, Chengguo |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 59.2014, p. 144-155
|
Subject: | Optimal multivariate reinsurance | Layer reinsurance | Multivariate lower-orthant Value-at-Risk | General reinsurance premium principles | General risk dependence | Lagrangian multiplier method | Theorie | Theory | Rückversicherung | Reinsurance | Risikomaß | Risk measure | Multivariate Analyse | Multivariate analysis | Risikomanagement | Risk management | Risiko | Risk |
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