Optimality of general reinsurance contracts under CTE risk measure

By Ken Seng Tan, Chengguo Weng, Yi Zhang. 2011

86 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/05d4cf10e7655d799271ba4139d5bc37427039f3

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Yichun Chi
2. Jun Cai
3. Ken Seng Tan
4. Chengguo Weng
5. Yi Zhang

In Finance

1. Yichun Chi
2. Jun Cai
3. Qihe Tang

In Management Science and Operations Research

1. Yichun Chi
2. Jun Cai
3. Ken Seng Tan
4. Qihe Tang
5. Chengguo Weng
6. Yi Zhang
7. Fadoua Balabdaoui
8. Jon A. Wellner

Citations in the corpus

• Optimal reinsurance designs based on risk measures: a review (2020, result): “Under CTE risk measure, Tan et al. (2011) and Cheung, Sung, Yam, and Yung (2014) obtain a similar result in favour of stop-loss reinsurance.”
• Optimal Reinsurance with General Premium Principles (2013, unknown): “Cai and Tan (2007), Cai et al. (2008) and Tan et al. (2011), still assuming the expected value premium principle, introduce two classes of optimal reinsurance models by minimizing the value at risk (VaR) and the conditional value at risk (CVaR) of the insurer’s total risk exposure.”