Yi Xia

University of Essex - Department of Mathematics

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Scholarly Papers (1)

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Optimal Reinsurance with Multivariate Risks and Dependence Uncertainty

Number of pages: 36 Posted: 15 Mar 2023 Last Revised: 09 Aug 2023
University of Essex, University of Essex, University of Essex and University of Essex - Department of Mathematics
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Abstract:

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Optimal reinsurance; Multivariate risks; Dependence uncertainty; Value-at-Risk; Expected Shortfall; Range-Value-at-Risk.