Optimal reinsurance under dynamic VaR constraint
نویسندگان
چکیده
منابع مشابه
Optimal Reinsurance under VaR and CTE Risk Measures
Let X denote the loss initially assumed by an insurer. In a reinsurance design, the insurer cedes part of its loss, say f(X), to a reinsurer, and thus the insurer retains a loss If (X) = X − f(X). In return, the insurer is obligated to compensate the reinsurer for undertaking the risk by paying the reinsurance premium. Hence, the sum of the retained loss and the reinsurance premium can be inter...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2016
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2016.09.011