Open AccessPareto-Optimal Reinsurance Policies under TrTVaR Risk Measure
Author(s) -
Yadong Li,
Ying Fang
Publication year - 2021
Publication title -
journal of financial risk management
Language(s) - Uncategorized
Resource type - Journals
eISSN - 2167-9541
pISSN - 2167-9533
DOI - 10.4236/jfrm.2021.103015
Subject(s) - reinsurance , indemnity , actuarial science , measure (data warehouse) , pareto principle , constraint (computer aided design) , moral hazard , pareto optimal , risk measure , economics , generalized pareto distribution , incentive , econometrics , microeconomics , computer science , mathematics , financial economics , extreme value theory , multi objective optimization , mathematical optimization , operations management , statistics , portfolio , geometry , database
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