Portfolio risk analysis of excess of loss reinsurance
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DOI: 10.1016/j.insmatheco.2021.11.004
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More about this item
Keywords
Mixture; Solvency capital requirement; Retention; Law of large numbers; Distortion risk measures;All these keywords.
JEL classification:
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
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