VaR and CTE Based Optimal Reinsurance from a Reinsurer’s Perspective
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DOI: 10.1007/s10473-020-0619-2
Abstract: In this article, we study optimal reinsurance design. By employing the increasing convex functions as the admissible ceded loss functions and the distortion premium principle, we study and obtain the optimal reinsurance treaty by minimizing… read more here.
Keywords: premium principle; var cte; reinsurance; optimal reinsurance ... See more keywords