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  • Photo du rédacteurHélène Dufour

Optimal Reinsurance with Multivariate Risks and Dependence Uncertainty

This paper explores the optimal #reinsurance design for an #insurer with multiple lines of business, where the dependence structure between #risks is unknown. The study considers Value-at-Risk (#var) and Range-Value-at-Risk (#rvar) as #riskmeasures and applies general premium principles. The optimal reinsurance strategies are obtained under budget constraint and expected profit constraint.

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