Optimal reinsurance under VaR and CTE risk measures

Insurance: Mathematics and Economics

Volumn 43, Issue 1, 2008, Pages 185-196

  Cai, Jun ^a   Tan, Ken Seng ^a,b   Weng, Chengguo ^a   Zhang, Yi ^c  

^a UNIVERSITY OF WATERLOO   (Canada)

^b CENTRAL UNIVERSITY OF FINANCE AND ECONOMICS   (China)

^c ZHEJIANG UNIVERSITY   (China)

Author keywords

C02; C61; Ceded loss; Change loss reinsurance; Conditional tail expectation (CTE); Expectation premium principle; IB90; IE10; IM52; Increasing convex function; Quota share reinsurance; Retained loss; Stop loss reinsurance; Value at risk (VaR)

Indexed keywords

EID: 47249128472     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2008.05.011     Document Type: Article

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