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Bounds for Ruin Probabilities and Value at Risk
the function φ(X1, X2) represents the benefits a direct insurer pays to a reinsurer, given losses of X1 ... contract, when the total losses are less than a, the direct insurer retains all losses. When the sum exceeds ...- Authors: Samuel Cox, Ruilin Tian, Luis F Zuluaga, Yijia Lin
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods