Multivariate reinsurance designs for minimizing an insurer’s capital requirement
Year of publication: |
2014
|
---|---|
Authors: | Zhu, Yunzhou ; Chi, Yichun ; Weng, Chengguo |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 59.2014, C, p. 144-155
|
Publisher: |
Elsevier |
Subject: | Optimal multivariate reinsurance | Layer reinsurance | Multivariate lower-orthant Value-at-Risk | General reinsurance premium principles | General risk dependence | Lagrangian multiplier method |
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