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- Publisher Website: 10.1016/j.insmatheco.2013.09.012
- Scopus: eid_2-s2.0-84885820034
- WOS: WOS:000328659700020
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Article: Optimal reinsurance in the presence of counterparty default risk
| Title | Optimal reinsurance in the presence of counterparty default risk |
|---|---|
| Authors | |
| Keywords | Counterparty default risk Distorted risk measure Expected policyholder deficit Optimal reinsurance Premium principle Value-at-risk |
| Issue Date | 2013 |
| Publisher | Elsevier. The Journal's web site is located at http://www.elsevier.com/locate/ime |
| Citation | Insurance: Mathematics and Economics, 2013, v. 53, p. 690-697 How to Cite? |
| Persistent Identifier | http://hdl.handle.net/10722/203423 |
| ISI Accession Number ID |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Asimit, AV | en_US |
| dc.contributor.author | Badescu, AM | en_US |
| dc.contributor.author | Cheung, KC | en_US |
| dc.date.accessioned | 2014-09-19T15:10:26Z | - |
| dc.date.available | 2014-09-19T15:10:26Z | - |
| dc.date.issued | 2013 | en_US |
| dc.identifier.citation | Insurance: Mathematics and Economics, 2013, v. 53, p. 690-697 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10722/203423 | - |
| dc.language | eng | en_US |
| dc.publisher | Elsevier. The Journal's web site is located at http://www.elsevier.com/locate/ime | en_US |
| dc.relation.ispartof | Insurance: Mathematics and Economics | en_US |
| dc.rights | NOTICE: this is the author’s version of a work that was accepted for publication in <Journal title>. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in PUBLICATION, [VOL#, ISSUE#, (DATE)] DOI# | en_US |
| dc.subject | Counterparty default risk | - |
| dc.subject | Distorted risk measure | - |
| dc.subject | Expected policyholder deficit | - |
| dc.subject | Optimal reinsurance | - |
| dc.subject | Premium principle | - |
| dc.subject | Value-at-risk | - |
| dc.title | Optimal reinsurance in the presence of counterparty default risk | en_US |
| dc.type | Article | en_US |
| dc.identifier.email | Cheung, KC: kccg@hku.hk | en_US |
| dc.identifier.authority | Cheung, KC=rp00677 | en_US |
| dc.identifier.doi | 10.1016/j.insmatheco.2013.09.012 | en_US |
| dc.identifier.scopus | eid_2-s2.0-84885820034 | - |
| dc.identifier.hkuros | 237356 | en_US |
| dc.identifier.volume | 53 | en_US |
| dc.identifier.spage | 690 | en_US |
| dc.identifier.epage | 697 | en_US |
| dc.identifier.isi | WOS:000328659700020 | - |