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- W2792342582 abstract "In this paper we proposed a new model for optimizing reinsurance which acts on the Conditional Tail Expectation (CTV) and the technical benefit. In this model, we have determined optimal reinsurance treaty parameters that minimize (CTV) under the constraint of technical benefit which must also be maximal. The minimization procedure is based on augmented Lagrangian method and genetic algorithms in order to solve the optimization program of this model." @default.
- W2792342582 created "2018-03-29" @default.
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- W2792342582 date "2018-01-01" @default.
- W2792342582 modified "2023-10-18" @default.
- W2792342582 title "Optimal Reinsurance Under CTV Risk Measure" @default.
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- W2792342582 doi "https://doi.org/10.1007/978-3-319-74500-8_82" @default.
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