Optimal Reinsurance under the Linear Combination of Risk Measures in the Presence of Reinsurance Loss Limit

Optimal reinsurance problems under the risk measures, such as Value-at-Risk (<inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><mi>VaR</mi></semantics></math></inline-formula>) and Tail-Value-at-Risk (<inline-formula><math xmlns="http://www.w3.org/1998/Math...

Full description

Bibliographic Details

Main Authors:	Qian Xiong, Zuoxiang Peng, Saralees Nadarajah
Format:	Artigo
Language:	Inglês
Published:	MDPI AG 2023-07-01
Series:	Risks
Subjects:	expected value principle loss limit constraint optimal reinsurance tail-value-at-risk value-at-risk
Online Access:	https://www.mdpi.com/2227-9091/11/7/125
Tags:	Add Tag No Tags, Be the first to tag this record!