Optimal retention for a stop-loss reinsurance with incomplete information
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References listed on IDEAS
- Cai, Jun & Wei, Wei, 2012. "Optimal reinsurance with positively dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 57-63.
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- repec:eee:insuma:v:76:y:2017:i:c:p:48-55 is not listed on IDEAS
- Mi Chen & Wenyuan Wang & Ruixing Ming, 2016. "Optimal Reinsurance Under General Law-Invariant Convex Risk Measure and TVaR Premium Principle," Risks, MDPI, Open Access Journal, vol. 4(4), pages 1-12, December.
More about this item
KeywordsStop-loss reinsurance; Expectation premium principle; Optimal retention; Value-at-risk; Distribution-free approximation; Stochastic orders;
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