Optimal reinsurance with default risk: A reinsurer's perspective

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2021Publisher:American Institute of Mathematical Sciences (AIMS)Journal:Journal of Industrial & Management Optimization, volume 17, page 2,971 (issn: 1553-166X,

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Authors: Chen, Tao; Liu, Wei; Tan, Tao; Wu, Lijun; Hu, Yijun;

doi: 10.3934/jimo.2020103

Optimal reinsurance with default risk: A reinsurer's perspective

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Abstract

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Keywords

default risk, exponential premium principle, Actuarial mathematics, expected value premium principle, optimal reinsurance, value at risk

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