Optimal reinsurance with positively dependent risks
By Jun Cai, Wei Wei. 2012
58 citations recorded by the source corpus.
Subfields: Demography, Economics and Econometrics, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/3aa402cd140cead52f934bcba329a5328520c8bd
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In Demography
In Economics and Econometrics
In Management Science and Operations Research
Citations in the corpus
- Optimal reinsurance designs based on risk measures: a review (2020, background): “(1) Although high-dimensional optimal reinsurance problems have been studied by Cai andWei (2012) and Zhu et al. (2014), this research is far from complete.”
- Optimal reinsurance with expectile (2016, unknown): “See, for example, Cai & Wei (2012), Asimit et al. (2013a), Cai et al. (2013), Cai et al. (2004), Cheung et al. (2014a), Chi & Meng (2014), and references therein.”
- Pareto-Optimal Reinsurance Arrangements Under General Model Settings (2017, background): “…distortion risk measures, general law-invariant convex risk measures, and insurer’s risk–adjusted liability, respectively, Kaluszka and Okolewski (2008) and Cai and Wei (2012) for maximization of the expected utility, and Bernard et al. (2015) for maximization of rank-dependent expected utility.”