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Risk-adjusted Bowley reinsurance under distorted probabilities

Cheung, KC; Yam, SCP; Zhang, YY

Zhang, YY (reprint author), Nankai Univ, Sch Stat & Data Sci, LPMC, Tianjin 300071, Peoples R China.; Zhang, YY (reprint author), Nankai Univ, KLMDASR, Tianjin 300071, Peoples R China.

INSURANCE MATHEMATICS & ECONOMICS, 2019; 86 (): 64

Abstract

In the seminal work of Chan and Gerber (1985), one of the earliest game theoretical approaches was proposed to model the interaction between the reins......

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