Optimal Reinsurance Under General Law-Invariant Convex Risk Measure and TVaR Premium Principle
In this paper, we study the optimal reinsurance problem where risks of the insurer are measured by general law-invariant risk measures and premiums are calculated under the TVaR premium principle, which extends the work of the expected premium principle. Our objective is to characterize the optimal...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2016-12-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2227-9091/4/4/50 |