Budget-constrained optimal reinsurance design under coherent risk measures

Keyphrases

• Risk Measures 100%
• Budget-constrained 100%
• Optimal Reinsurance 100%
• Design Problems 50%
• Insurer 50%
• Infimum 50%
• Law-invariant 50%
• General Law 50%
• Illustrative Examples 25%
• Constraint Function 25%
• Budget Constraint 25%
• Integral Representation 25%
• Risk Management Strategies 25%
• Solution Scheme 25%
• Probability Measure Space 25%
• Risk Exposure 25%
• Contract Design 25%
• Infinite-dimensional Space 25%
• Reinsurance 25%
• Risk Profile 25%
• Indemnity 25%
• Comonotonic 25%
• Premium Principle 25%
• Minimax Theorem 25%
• Reinsurance Premium 25%
• Step Solution 25%

Mathematics

• Risk Measure 100%
• Infimum 100%
• Generality 50%
• Probability Measure 50%
• Illustrative Example 50%
• Objective Function 50%
• Budget Constraint 50%
• Integral Representation 50%
• Supremum 50%
• Constraint Function 50%
• Infinite-Dimensional Space 50%
• Intrinsic Property 50%
• Premium Principle 50%
• Risk Profile 50%
• Convex 50%