Optimal Reinsurance Under VaR and CTE Risk Measures When Ceded Loss Function is Concave

Author: Lu Zhi-Yi   Liu Le-Ping   Shen Qing-Jie   Meng Li-Li  

Publisher: Taylor & Francis Ltd

ISSN: 0361-0926

Source: Communications in Statistics: Theory and Methods, Vol.43, Iss.15, 2014-08, pp. : 3223-3247

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