| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076917 | Insurance: Mathematics and Economics | 2012 | 12 Pages |
Abstract
⺠We study the VaR and CVaR based optimal reinsurance models with variance related premium principles. ⺠The layer reinsurance is shown to be always optimal. ⺠We derive the optimal layer reinsurance explicitly for variance and standard deviation premium principles.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Yichun Chi,