Christiane Lemieux

University of Waterloo - Department of Statistics and Actuarial Science

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

2

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147

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Convex Risk Functionals: Representation and Applications

Number of pages: 31 Posted: 07 Aug 2018 Last Revised: 22 Oct 2019
Fangda Liu, Jun Cai, Christiane Lemieux and Ruodu Wang
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 95 (298,640)

Abstract:

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Law-Invariant Convex Risk Functional, Dual Representation, Robust Evaluation, Optimal Reinsurance Design, Budget Constraint

2.

Optimal Reinsurance in a Market of Multiple Reinsurers Under Law-Invariant Convex Risk Measures

Number of pages: 23 Posted: 02 Nov 2017
Jun Cai, Christiane Lemieux, Fangda Liu and Ruodu Wang
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 52 (414,941)
Citation 1

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Optimal reinsurance design, convex risk measure, Wang's premium principle