OpenAlex | Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures

Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures

Work

Year: 2007

Type: article

Abstract: We propose practical solutions for the determination of optimal retentions in a stop-loss reinsurance. We develop two new optimization criteria for deriving the optimal retentions by, respectively, mi... more

Source: Astin Bulletin

Authors Jun Cai, Ken Seng Tan

Institutions University of Waterloo, Central University of Finance and Economics

Cites: 24

Cited by: 207

Related to: 10

FWCI: 5.3

Citation percentile (by year/subfield): 97.21

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: bronze