Ambrose Lo

University of Iowa - Department of Statistics & Actuarial Science

Iowa City, IA 52242-1409

United States

  • University of Iowa - Department of Statistics & Actuarial Science

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Budget-Constrained Optimal Reinsurance Design Under Coherent Risk Measures

Number of pages: 25 Posted: 30 Nov 2017
Ka Chun Cheung, Wing Fung Chong and Ambrose Lo
The University of Hong Kong, Heriot-Watt University - Department of Actuarial Mathematics and Statistics and University of Iowa - Department of Statistics & Actuarial Science
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Abstract:

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Budget constraint; Distortion; TVaR; Mini-max Theorem; Neyman-Pearson