Marginal Indemnification Function formulation for optimal reinsurance



Zhuang, Sheng Chao, Weng, Chengguo, Tan, Ken Seng and Assa, Hirbod
(2016) Marginal Indemnification Function formulation for optimal reinsurance. INSURANCE MATHEMATICS & ECONOMICS, 67. 65 - 76.

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Item Type: Article
Uncontrolled Keywords: Optimal reinsurance, Marginal indemnification function, Lagrangian dual method, Distortion risk measure, Inverse-S shaped distortion premium principle
Depositing User: Symplectic Admin
Date Deposited: 22 Jul 2016 07:48
Last Modified: 14 Nov 2019 06:10
DOI: 10.1016/j.insmatheco.2015.12.003
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URI: http://livrepository.liverpool.ac.uk/id/eprint/3002477
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