Risk-adjusted Bowley reinsurance under distorted probabilities
Year of publication: |
2019
|
---|---|
Authors: | Cheung, Ka Chun ; Yam, Sheung Chi Phillip ; Zhang, Yiying |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 86.2019, p. 64-72
|
Subject: | Bowley solution | Stackelberg equilibria | Equilibrium reinsurance strategy | Pricing density | General premium principle | Distortion risk measure | Tail Value-at-Risk | Value-at-Risk | Theorie | Theory | Risikomaß | Risk measure | Rückversicherung | Reinsurance | Risikomanagement | Risk management | Risikomodell | Risk model | Risiko | Risk | Messung | Measurement | Portfolio-Management | Portfolio selection |
-
Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit
Lu, ZhiYi, (2016)
-
Pareto-optimal reinsurance under individual risk constraints
Ghossoub, Mario, (2022)
-
Robust insurance design with distortion risk measures
Boonen, Tim J., (2024)
- More ...
-
Concave distortion risk minimizing reinsurance design under adverse selection
Cheung, Ka Chun, (2020)
-
Satisficing credibility for heterogeneous risks
Cheung, Ka Chun, (2022)
-
On the increasing convex order of generalized aggregation of dependent random variables
Zhang, Yiying, (2020)
- More ...