Optimal reinsurance under distortion risk measures and expected value premium principle for reinsurer

Author:

Zheng Yanting,Cui Wei,Yang Jingping

Publisher

Springer Science and Business Media LLC

Subject

Information Systems,Computer Science (miscellaneous)

Reference13 articles.

1. Cai J, Tan K S, Wang C, and Zhang Y, Optimal reinsurance under VaR and CTE risk measures, Insurance: Mathematics and Economics, 2008, 43(1): 185–196.

2. Cheung K C, Optimal reinsurance revisited —A geometric approach, Astin Bulletin, 2010, 40(1): 221–239.

3. Dhaene J, Vanduffel S, Goovaerts M J, Kaas R, Tang Q, and Vyncke D, Risk measures and comonotonicity: A review, 2006, Stochastic Models, 22: 573–606.

4. Wang S, A class of distortion operators for pricing financial and insurance risks, Journal of Risk and Insurance, 2000, 67(1): 15–36.

5. Chi Y and Tan K S, Optimal reinsurance under VaR and CVaR risk measures: A simplified approach, Astin Bulletin, 2011, 41(2): 487–509.

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