Optimal retention for a stop-loss reinsurance under the VaR and CTE risk measures

ASTIN Bulletin

Volumn 37, Issue 1, 2007, Pages 93-112

  Cai, Jun ^a   Tan, Ken Seng ^a,b  

^a UNIVERSITY OF WATERLOO   (Canada)

^b CENTRAL UNIVERSITY OF FINANCE AND ECONOMICS   (China)

Author keywords

Collective risk model; Conditional tail expectation (CTE); Expected value principle; Individual risk model; Loading factor; Multivariate Pareto distribution; Multivariate phase type distribution; Retention; Stop loss reinsurance; Value at risk (VaR)

Indexed keywords

EID: 34347247594     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.2143/AST.37.1.2020800     Document Type: Article

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