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Conditional tail expectation (CTE)
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Expectation premium principle
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Insurance: Mathematics and Economics
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Optimal reinsurance with concave ceded loss functions under VaR and CTE risk measures
Lu, ZhiYi
;
Liu, LePing
;
Meng, ShengWang
- In:
Insurance: Mathematics and Economics
52
(
2013
)
1
,
pp. 46-51
-share reinsurance with a policy limit is always optimal, while the
full
reinsurance
with a policy limit is optimal under the CTE …
Persistent link: https://www.econbiz.de/10010603201
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