Optimal reinsurance policy under a new distortion risk measure. (English) Zbl 07706307
Summary: Distortion risk measures play an essential role in the fields of finance and risk management. In this paper, we present a new distortion risk measure with mixed methods. We then investigate the optimal reinsurance problem under the new risk measure and the closed-form solutions of optimal reinsurance policies are obtained. As special cases of the new distortion risk measure, VaR and GlueVaR are considered in the application of risk management.
MSC:
| 62-XX | Statistics |
References:
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