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  • Search: subject:"Vajda condition"
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Subject
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Vajda condition 3 Cost of capital 2 Optimal reinsurance 2 Reinsurance 2 Risikomaß 2 Risikomodell 2 Risk measure 2 Risk model 2 Rückversicherung 2 Theorie 2 Theory 2 Backward-forward optimization 1 Conditional value at risk 1 Distortion risk measure 1 Kapitalkosten 1 Portfolio selection 1 Portfolio-Management 1 Risikomanagement 1 Risk management 1 Value at risk 1 cost of capital 1 expectile 1 optimal reinsurance 1 risk measure 1
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Undetermined 3
Type of publication
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Article 3
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 1
Author
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Boonen, Tim J. 1 Chen, Yanhong 1 Chi, Yichun 1 Jiang, Wenjun 1 Weng, Chengguo 1
Published in...
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European journal of operational research : EJOR 1 Insurance: Mathematics and Economics 1 Journal of risk 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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A marginal indemnity function approach to optimal reinsurance under the Vajda condition
Boonen, Tim J.; Jiang, Wenjun - In: European journal of operational research : EJOR 303 (2022) 2, pp. 928-944
Persistent link: https://www.econbiz.de/10013364047
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Optimal reinsurance with expectile under the Vajda condition
Chen, Yanhong - In: Journal of risk 23 (2020/2021) 1, pp. 113-144
Persistent link: https://www.econbiz.de/10012500128
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Optimal reinsurance subject to Vajda condition
Chi, Yichun; Weng, Chengguo - In: Insurance: Mathematics and Economics 53 (2013) 1, pp. 179-189
In this paper, we study optimal reinsurance design by minimizing the risk-adjusted value of an insurer’s liability, where the valuation is carried out by a cost-of-capital approach based either on the value at risk or the conditional value at risk. To prevent moral hazard and to be consistent...
Persistent link: https://www.econbiz.de/10010681883
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