Optimal reinsurance under the Haezendonck risk measure-Reference-Cited by-同舟云学术

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Optimal reinsurance under the Haezendonck risk measure

Published:2013-04 Issue:4 Volume:83 Page:1111-1116
ISSN:0167-7152
Container-title:Statistics & Probability Letters
language:en
Short-container-title:Statistics & Probability Letters

Author:

Zhu Yunzhou,Zhang Lixin,Zhang Yi

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference15 articles.

1. On Haezendonck risk measures;Bellini;Journal of Banking and Finance,2008

2. The safety loading of reinsurance premiums;Borch;Skandinavisk Aktuarietidshrift,1960

3. Actuarial Mathematics;Bowers,1997

4. Optimal retention for a stop-loss reinsurance under the VaR and CTE risk measure;Cai;ASTIN Bulletin,2007

5. Optimal reinsurance under VaR and CTE risk measures;Cai;Insurance: Mathematics and Economics,2008

Cited by 13 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The conditional Haezendonck–Goovaerts risk measure;Statistics & Probability Letters;2021-02

2. Estimation of the Haezendonck-Goovaerts risk measure for extreme risks;Scandinavian Actuarial Journal;2021-01-07

3. Stability properties of Haezendonck–Goovaerts premium principles;Insurance: Mathematics and Economics;2020-09

4. A generalization of Expected Shortfall based capital allocation;Statistics & Probability Letters;2019-03

5. Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure;Scandinavian Actuarial Journal;2018-02-02

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