Optimal stop-loss reinsurance under the VaR and CTE risk measures : variable transformation method
Year of publication: |
2019
|
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Authors: | Du, Junhong ; Li, Zhiming ; Wu, Lijun |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 53.2019, 3, p. 1133-1151
|
Subject: | Conditional tail expectation (CTE) | Expected value principle | Stop-loss reinsurance | Value at risk (VaR) | Variable transformation | Theorie | Theory | Risikomaß | Risk measure | Rückversicherung | Reinsurance | Risikomanagement | Risk management | Messung | Measurement | Portfolio-Management | Portfolio selection | Risiko | Risk | VAR-Modell | VAR model | Erwartungsbildung | Expectation formation |
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