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Mathematical Problems in Engineering
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Mathematical Problems in Engineering
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2015
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Article
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Tab 1
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Research Article
Optimal Limited Stop-Loss Reinsurance under VaR, TVaR, and CTE Risk Measures
Table 1
Existence condition of optimal solution.
Risk
measure
Certain
Certain
Comprehensive
effect
VaR
No
TVaR
—
—
CTE
Lemma
6
—
—