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Mathematical Problems in Engineering
Volume 2015, Article ID 143739, 12 pages
Research Article

Optimal Limited Stop-Loss Reinsurance under VaR, TVaR, and CTE Risk Measures

1China Institute for Actuarial Science, Central University of Finance and Economics, Beijing 100081, China
2Research Institute of Applied Mathematics, Anhua Agricultural Insurance Co., Ltd., Beijing 100037, China
3School of Economics and Management, Tsinghua University, Beijing 100084, China

Received 27 April 2015; Revised 14 July 2015; Accepted 15 July 2015

Academic Editor: Xinguang Zhang

Copyright © 2015 Xianhua Zhou et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Citations to this Article [2 citations]

The following is the list of published articles that have cited the current article.

  • Hongli Liu, and Ying Fang, “Optimal quota-share and stop-loss reinsurance from the perspectives of insurer and reinsurer,” Journal of Applied Mathematics and Computing, vol. 57, no. 1-2, pp. 85–104, 2017. View at Publisher · View at Google Scholar
  • Junhong Du, Zhiming Li, and Lijun Wu, “Optimal Stop-Loss Reinsurance Under the VaR and CTE Risk Measures: Variable Transformation Method,” Computational Economics, vol. 53, no. 3, pp. 1133–1151, 2019. View at Publisher · View at Google Scholar