Waterloo, Ontario N2L 3G1
University of Waterloo - Department of Statistics and Actuarial Science
in Total Papers Citations
Pareto optimality, optimal reinsurance, comonotonic-semilinearity, comonotonic-convexity, Tail-Value-at-Risk
Dutch Risk Measure, TVaR, Expectile, Coherent Risk Measure, Stop-Loss Reinsurance, Kuosuoka Representation, Portfolio Selection
Law-Invariant Convex Risk Functional, Dual Representation, Robust Evaluation, Optimal Reinsurance Design, Budget Constraint
risk aggregation; distortion risk measures; convex risk measures; dependence uncertainty; diversification
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risk aggregation, distortion risk measures, convex risk measures, dependence uncertainty, diversification
Distributionally robust optimization, distortion risk measure, convex risk measure, convex envelope
Optimal reinsurance design, convex risk measure, Wang's premium principle
Reinsurance, Risk measure, Expectile, Coherent, Elicitable, Premium principle, Actuarial reserve, Risk margin, Liability
File name: j-6975.pdf
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