References
- Cai, J., & Chi, Y. (in press). Optimal reinsurance designs based on risk measures: A review. Statistical Theory and Related Fields.
- Cai, J., Lemieux, C., & Liu, F. (2016). Optimal reinsurance from the perspectives of both an insurer and a reinsurer. ASTIN Bulletin, 46(3), 815–849. https://doi.org/10.1017/asb.2015.23
- Cheung, K. C., Liu, F., & Yam, S. C. P. (2012). Average value-at-Risk minimizing reinsurance under Wang's premium principle with constraints. ASTIN Bulletin, 42(2), 575–600. https://doi.org/10.2143/AST.42.2.2182809
- Cheung, K. C., & Lo, A. (2017). Characterizations of optimal reinsurance treaties: A cost-benefit approach. Scandinavian Actuarial Journal, 2017(1), 1–28. https://doi.org/10.1080/03461238.2015.1054303
- Cui, W., Yang, J., & Wu, L. (2013). Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles. Insurance: Mathematics and Economics, 53(1), 74–85. https://doi.org/10.1016/j.insmatheco.2013.03.007
- Lo, A. (2017a). A Neyman–Pearson perspective on optimal reinsurance with constraints. ASTIN Bulletin, 47(2), 467–499. https://doi.org/10.1017/asb.2016.42
- Lo, A. (2017b). A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints. Scandinavian Actuarial Journal, 2017(7), 584–605. https://doi.org/10.1080/03461238.2016.1193558
- Lo, A., & Tang, Z. (2019). Pareto-optimal reinsurance policies in the presence of individual risk constraints. Annals of Operations Research, 274(1–2), 395–423. https://doi.org/10.1007/s10479-018-2820-4
- Shao, J. (2003). Mathematical statistics (2nd ed.). Springer.
- Zhuang, S. C., Weng, C., Tan, K. S., & Assa, H. (2016). Marginal indemnification function formulation for optimal reinsurance. Insurance: Mathematics and Economics, 67, 65–76. https://doi.org/10.1016/j.insmatheco.2015.12.003