Pareto-optimal reinsurance under individual risk constraints
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DOI: 10.1016/j.insmatheco.2022.09.003
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More about this item
Keywords
Reinsurance; Pareto optimality; Risk constraints; Distortion risk measures; Range Value-at-Risk;All these keywords.
JEL classification:
- C71 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Cooperative Games
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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