Optimal multivariate quota-share reinsurance : a nonparametric mean-CVaR framework
Year of publication: |
January 2017
|
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Authors: | Sun, Haoze ; Weng, Chengguo ; Zhang, Yi |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 72.2017, p. 197-214
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Subject: | Multiple optimal reinsurance | Mean-CVaR | Nonparametric model | Kernel estimation | α-mixing process | Bootstrap | Nichtparametrisches Verfahren | Nonparametric statistics | Rückversicherung | Reinsurance | Theorie | Theory | Bootstrap-Verfahren | Bootstrap approach |
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