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Optimality of General Reinsurance Contracts under CTE Risk Measure

Optimality of General Reinsurance Contracts under CTE Risk Measure This abstract is for a paper that addresses the problem of optimal reinsurance design using the criterion of minimizing the ...
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Description: This abstract is for a paper that addresses the problem of optimal reinsurance design using the criterion of minimizing the Conditional Tail Expectation (CTE) risk measure of the insurer's total risk.
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- Authors: Ken Seng Tan, Yi Zhang, Chengguo Weng
- Date: Nov 2008

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Optimality of General Reinsurance Contracts under CTE Risk Measure