Optimal Reinsurance under the Linear Combination of Risk Measures in the Presence of Reinsurance Loss Limit
Optimal reinsurance problems under the risk measures, such as Value-at-Risk (<inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><mi>VaR</mi></semantics></math></inline-formula>) and Tail-Val...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-07-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/11/7/125 |