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2017

2017

The design of optimal reinsurance treaties in the presence of multifarious practical constraints is a substantive but… Expand

2015

2015

This paper studies optimal risk redistribution between firms, such as banks or insurance companies. The introduction of the Basel… Expand

Highly Cited

2014

Highly Cited

2014

In this paper, we consider the problem of optimal reinsurance design, when the risk is measured by a distortion risk measure and… Expand

2014

2014

This paper studies optimal risk redistribution between firms, such as banks or insurance companies. The introduction of the Basel… Expand

2014

2014

For the class of distortion risk measures, a natural estimator has the form of L-statistics. In this article, we investigate the… Expand

Highly Cited

2013

Highly Cited

2013

Recently the optimal reinsurance strategy concerning the insurer’s risk attitude and the reinsurance premium principle has been… Expand

2010

2010

The bias of the empirical estimate of a given risk measure has recently been of interest in the risk management literature. In… Expand

2009

2009

In this paper we analyze and evaluate a standard approach financial institutions use to calculate their so-called total economic… Expand

Highly Cited

2008

Highly Cited

2008

The current literature does not reach a consensus on which risk measures should be used in practice. Our objective is to give at… Expand

Highly Cited

2002

Highly Cited

2002

In this paper it is proved that a concave distortion function is a necessary and sufficient condition for coherence, and a… Expand