Narrow search
Showing 1 - 10 of 43,747
Cover Image
Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance
Cai, Jun; Liu, Fangda; Yin, Mingren - In: European journal of operational research : EJOR 318 (2024) 1, pp. 310-326
Persistent link: https://www.econbiz.de/10015047732
Cover Image
Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit
Lu, ZhiYi; Meng, LiLi; Wang, Yujing; Shen, Qingjie - In: Insurance / Mathematics & economics 68 (2016), pp. 92-100
Persistent link: https://www.econbiz.de/10011492551
Cover Image
Pareto-optimal reinsurance under individual risk constraints
Ghossoub, Mario; Jiang, Wenjun; Ren, Jiandong - In: Insurance / Mathematics & economics 107 (2022), pp. 307-325
Persistent link: https://www.econbiz.de/10013471249
Cover Image
Risk in large claims insurance market with bipartite graph structure
Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine - In: Operations research 64 (2016) 5, pp. 1159-1176
Persistent link: https://www.econbiz.de/10011594678
Cover Image
Optimal reinsurance with premium constraint under distortion risk measures
Zheng, Yanting; Cui, Wei - In: Insurance / Mathematics & economics 59 (2014), pp. 109-120
Persistent link: https://www.econbiz.de/10010469167
Cover Image
Nonlinearly transformed risk measures : properties and application to optimal reinsurance
Brandtner, Mario; Kürsten, Wolfgang; Rischau, Robert - In: Scandinavian actuarial journal 2020 (2020) 5, pp. 376-395
Persistent link: https://www.econbiz.de/10012262746
Cover Image
Optimal stop-loss reinsurance under the VaR and CTE risk measures : variable transformation method
Du, Junhong; Li, Zhiming; Wu, Lijun - In: Computational economics 53 (2019) 3, pp. 1133-1151
Persistent link: https://www.econbiz.de/10012135119
Cover Image
Beyond cash-additive risk measures : when changing the numéraire fails
Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - 2013
We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest …-additive risk measures, for which the eligible asset is a risk-free bond, on the grounds that the general case can be reduced to the … provide a variety of finiteness and continuity results for the corresponding risk measures and apply them to risk measures …
Persistent link: https://www.econbiz.de/10010258580
Cover Image
Factor risk quantification in annuity models
Karabey, Uǧur; Kleinow, Torsten; Cairns, Andrew - In: Insurance / Mathematics & economics 58 (2014), pp. 34-45
Persistent link: https://www.econbiz.de/10010437638
Cover Image
On the use of long-term risk measures as an approach to communicating risks
Ren, Jiandong - In: Asia-Pacific journal of risk and insurance : APJRI 10 (2016) 1, pp. 45-55
Persistent link: https://www.econbiz.de/10011410501