Restricted Coherent Risk Measures and Actuarial Solvency
We prove a general dual representation form for restricted coherent risk measures, and we apply it to a minimization problem of the required solvency capital for an insurance company.
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| Format: | Article |
| Language: | English |
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Asia University
2012-01-01
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| Series: | Advances in Decision Sciences |
| Online Access: | http://dx.doi.org/10.1155/2012/350765 |