Optimal reinsurance under dynamic VaR constraint
Year of publication: |
November 2016
|
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Authors: | Zhang, Nan ; Zhuo, Jin ; Li, Shuanming ; Chen, Ping |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 71.2016, p. 232-243
|
Subject: | HJB equation | Dynamic Value-at-Risk (VaR) | Conditional Value-at-Risk (CVaR) | Worst-case CVaR (wcCVaR) | Survival probability | Risikomaß | Risk measure | Theorie | Theory | VAR-Modell | VAR model | Portfolio-Management | Portfolio selection | Rückversicherung | Reinsurance | ARCH-Modell | ARCH model |
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