On optimal reinsurance policy with distortion risk measures and premiums-Reference-Cited by-同舟云学术

On optimal reinsurance policy with distortion risk measures and premiums

Published:2015-03 Issue: Volume:61 Page:70-75
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Assa Hirbod

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference21 articles.

1. Spectral measures of risk: a coherent representation of subjective risk aversion;Acerbi;J. Banking Finance,2002

2. Uncertainty and the welfare economics of medical care;Arrow;Amer. Econ. Rev.,1963

3. Properties of distortion risk measures;Balbás;Methodol. Comput. Appl. Probab.,2009

4. Optimal reinsurance arrangements under tail risk measures;Bernard;J. Risk Insurance,2009

5. Borch, K., 1960. An attempt to determine the optimum amount of stop loss reinsurance, in: Transactions of the 16th International Congress of Actuaries, vol. I. No. 3, pp. 597–610.

Cited by 76 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. Equilibria and efficiency in a reinsurance market;Insurance: Mathematics and Economics;2023-11

2. Revisit optimal reinsurance under a new distortion risk measure;Communications in Statistics - Theory and Methods;2023-06-27

3. Optimal reinsurance contract in a Stackelberg game framework: a view of social planner;Scandinavian Actuarial Journal;2023-06-07

4. Empirical tail risk management with model-based annealing random search;Insurance: Mathematics and Economics;2023-05

5. Optimal insurance under maxmin expected utility;Finance and Stochastics;2023-03-14